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dc.contributor.authorAlquist, Ronen
dc.contributor.authorChinn, Menzie D.en
dc.date.accessioned2009-07-14-
dc.date.accessioned2012-09-21T11:55:26Z-
dc.date.available2012-09-21T11:55:26Z-
dc.date.issued2006-
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
dc.language.isoengen
dc.publisher|aUniversity of California, Santa Cruz Institute for International Economics (SCIIE) |cSanta Cruz, CAen
dc.relation.ispartofseries|aWorking Paper |x06-05en
dc.subject.jelF31en
dc.subject.jelF47en
dc.subject.ddc330en
dc.subject.keywordexchange ratesen
dc.subject.keywordmonetary modelen
dc.subject.keywordnet foreign assetsen
dc.subject.keywordinterest rate parityen
dc.subject.keywordforecasting performanceen
dc.subject.stwGeldpolitiken
dc.subject.stwZinsen
dc.subject.stwAußenwirtschaften
dc.subject.stwWechselkursen
dc.subject.stwPrognoseen
dc.subject.stwRandom Walken
dc.titleConventional and unconventional approaches to exchange rate modeling and assessment-
dc.typeWorking Paperen
dc.identifier.ppn604626983en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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