Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/83608
Authors: 
Naszódi, Anna
Year of Publication: 
2011
Series/Report no.: 
MNB Working Papers 2011/2
Abstract: 
This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some alternative models. The asset pricing model is supported by the test since it has significantly better out-of-sample fit on survey data than simpler models including the random walk. The traditional test based on forecasting ability is applied as well. The asset pricing model proves to have better forecast accuracy in case of some exchange rates and forecast horizons than the random walk.
Subjects: 
asset pricing exchange rate model
present value model of exchange rate
survey data
JEL: 
F31
F36
G13
Document Type: 
Working Paper

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