Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/192322 
Erscheinungsjahr: 
2003
Schriftenreihe/Nr.: 
Discussion Papers No. 340
Verlag: 
Statistics Norway, Research Department, Oslo
Zusammenfassung: 
This study compares the forecasting performance of a structural exchange rate model that combines the purchasing power parity condition with the interest rate differential in the long run, with some alternative models. The analysis is applied to the Norwegian exchange rate. The long run equilibrium relationship is embedded in a parsimonious representation for the exchange rate. The structural exchange rate representation is stable over the sample and outperforms a random walk in an out-of-sample forecasting exercise at one to four horizons. Ignoring the interest rate differential in the long run, however, the structural model no longer outperforms a random walk.
Schlagwörter: 
Equilibrium real exchange rate
cointegration VAR
out-of-sample forecasting
JEL: 
C22
C32
C53
F31
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
251.55 kB





Publikationen in EconStor sind urheberrechtlich geschützt.