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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
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Alquist, Ron | | en_US |
| dc.contributor.author | | Chinn, Menzie D. | | en_US |
| dc.date.accessioned | | 2009-07-14 | | en_US |
| dc.date.accessioned | | 2012-09-21T11:55:26Z | | - |
| dc.date.available | | 2012-09-21T11:55:26Z | | - |
| dc.date.issued | | 2006 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/64099 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Santa Cruz Inst. for International Economics Santa Cruz, Calif. | | en_US |
| dc.relation.ispartofseries | | Working Papers, Santa Cruz Center for International Economics 06-05 | | en_US |
| dc.subject.jel | | F31 | | en_US |
| dc.subject.jel | | F47 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | exchange rates | | en_US |
| dc.subject.keyword | | monetary model | | en_US |
| dc.subject.keyword | | net foreign assets | | en_US |
| dc.subject.keyword | | interest rate parity | | en_US |
| dc.subject.keyword | | forecasting performance | | en_US |
| dc.subject.stw | | Geldpolitik | | en_US |
| dc.subject.stw | | Zins | | en_US |
| dc.subject.stw | | AuĂenwirtschaft | | en_US |
| dc.subject.stw | | Wechselkurs | | en_US |
| dc.subject.stw | | Prognose | | en_US |
| dc.subject.stw | | Random Walk | | en_US |
| dc.title | | Conventional and unconventional approaches to exchange rate modeling and assessment | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 604626983 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Working Papers, Santa Cruz Institute for International Economics, UC Santa Cruz
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