Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/81921
Authors: 
Sellin, Peter
Year of Publication: 
2007
Series/Report no.: 
Sveriges Riksbank Working Paper Series 213
Abstract: 
In this paper we undertake an out-of-sample evaluation of the ability of a model to forecast the Swedish Krona's real and nominal effective exchange rate, using a cointegrating relation between the real exchange rate, relative output, terms of trade and net foreign assets (or alternatively the trade balance). The cointegrating relation is derived from a theoretical model of the New Open Economy Macroeconomics type. The forecasting performance of our estimated vector error correction model is quite good once the dynamics of the model have been augmented with an interest rate differential.
Subjects: 
New Open Economy Macroeconomics
real exchange rate
nominal exchange rate
forecasting
JEL: 
C52
C53
F31
Document Type: 
Working Paper

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