Citation

Discussion Paper Details

Please find the details for DP188 in an easy to copy and paste format below:

Full Details   |   Bibliographic Reference

Full Details

Title: Exchange Rates, Innovations and Forecasting

Author(s): Christian C Wolff

Publication Date: May 1987

Keyword(s): Exchange Rates, Forecasting, News and Random Walk

Programme Area(s): Applied Macroeconomics

Abstract: In this paper an ex-post forecasting experiment is performed on the basis of a version of the "news" model of exchange rate determination. A general finding is that the "news" formulation of monetary exchange rate models leads to relatively accurate ex post exchange rate forecasts. Often the results compare favourably with those obtained from the naive random walk forecasting rule. Thus, the evidence presented in this paper supports the argument that the 1983 finding by Meese and Rogoff (that structural models do not even outperform the random walk in an ex post forecasting experiment) may be due to the fact that the models were not properly tested in a "news" framework.

For full details and related downloads, please visit: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=188

Bibliographic Reference

Wolff, C. 1987. 'Exchange Rates, Innovations and Forecasting'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=188