@techreport{Alquist2006Conventional,
abstract = {We examine the relative predictive power of the sticky price monetary model, uncovered interest parity, and a transformation of the net exports variable. In addition to bringing a new approach (utilizing our measure of external imbalance suggested by Gourinchas and Rey) and data spanning a more recent period to bear, we implement the Clark and West (forthcoming) procedure for testing the significance of out-of-sample forecasts. The interest rate parity relation holds better at long horizons and the net exports variable does well in predicting exchange rates at short horizons in-sample. In out-of-sample forecasts, we find evidence that uncovered interest parity outperforms a random walk at long horizons and that the measure of external imbalance does well at short horizons, although we cannot duplicate the findings of Gourinchas and Rey.},
address = {Santa Cruz, Calif.},
author = {Ron Alquist and Menzie D. Chinn},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {F31; F47; 330; exchange rates; monetary model; net foreign assets; interest rate parity; forecasting performance; Geldpolitik; Zins; Au\ss{}enwirtschaft; Wechselkurs; Prognose; Random Walk},
language = {eng},
number = {06-05},
publisher = {Santa Cruz Inst. for International Economics},
title = {Conventional and unconventional approaches to exchange rate modeling and assessment},
type = {Working Papers, Santa Cruz Center for International Economics},
url = {http://hdl.handle.net/10419/64099},
year = {2006}
}
