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dc.contributor.authorAlquist, Ronen_US
dc.contributor.authorChinn, Menzie D.en_US
dc.date.accessioned2009-07-14en_US
dc.date.accessioned2012-09-21T11:55:26Z-
dc.date.available2012-09-21T11:55:26Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/64099-
dc.description.abstractWe 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.en_US
dc.language.isoengen_US
dc.publisherSanta Cruz Inst. for International Economics Santa Cruz, Calif.en_US
dc.relation.ispartofseriesWorking Papers, Santa Cruz Center for International Economics 06-05en_US
dc.subject.jelF31en_US
dc.subject.jelF47en_US
dc.subject.ddc330en_US
dc.subject.keywordexchange ratesen_US
dc.subject.keywordmonetary modelen_US
dc.subject.keywordnet foreign assetsen_US
dc.subject.keywordinterest rate parityen_US
dc.subject.keywordforecasting performanceen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwZinsen_US
dc.subject.stwAußenwirtschaften_US
dc.subject.stwWechselkursen_US
dc.subject.stwPrognoseen_US
dc.subject.stwRandom Walken_US
dc.titleConventional and unconventional approaches to exchange rate modeling and assessmenten_US
dc.typeWorking Paperen_US
dc.identifier.ppn604626983en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Papers, Santa Cruz Institute for International Economics, UC Santa Cruz

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