Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82484
Authors: 
Degrér, Henrik
Hansen, Jan
Sellin, Peter
Year of Publication: 
2001
Series/Report no.: 
Sveriges Riksbank Working Paper Series 133
Abstract: 
In this paper we evaluate the out of sample forecasting performance of a large number of models belonging to a popular class of exchange rate models. Forecasts of the Swedish nominal effective exchange rate for the period 1980-2000 are performed using both single equation estimation and VAR approaches. The forecast horizons used were from 1 to 12 quarters. None of the models evaluated could convincingly outperform a random walk alternative.
Subjects: 
Exchange rates
monetary approach
forecasting
JEL: 
F31
F41
F47
Document Type: 
Working Paper

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