|
EconStor >
University of California (UC) >
UC Santa Cruz, Santa Cruz Institute for International Economics (SCIIE) >
Working Papers, Santa Cruz Institute for International Economics, UC Santa Cruz >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/64099
|
| | |
| Title: | | Conventional and unconventional approaches to exchange rate modeling and assessment  |
| Authors: | | Alquist, Ron Chinn, Menzie D. |
| Issue Date: | | 2006 |
| Series/Report no.: | | Working Papers, Santa Cruz Center for International Economics 06-05 |
| 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. |
| Subjects: | | exchange rates monetary model net foreign assets interest rate parity forecasting performance |
| JEL: | | F31 F47 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Papers, Santa Cruz Institute for International Economics, UC Santa Cruz
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/64099
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|