Buy this book
"This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine forecasting over horizons from one day to one month (the one-month horizon being where micro and macro analysis begin to overlap). Over our 3-year forecasting sample, we find that the micro-based model consistently out-performs both the random walk and the macro model. Micro-based forecasts account for almost 16 per cent of the sample variance in monthly spot rate changes. These results provide a level of empirical validation as yet unattained by other models. Our result that the micro-based model out-performs the macro model does not imply that macro fundamentals will never explain exchange rates. Quite the contrary, our findings are in fact consistent with the view that the principal driver of exchange rates is standard macro fundamentals. In Evans and Lyons (2004b)we report firm evidence that the non-public information that we exploit here for forecasting exchange rates is also useful for forecasting macro fundamentals themselves"--National Bureau of Economic Research web site.
Buy this book
Showing 2 featured editions. View all 2 editions?
Edition | Availability |
---|---|
1
Meese-Rogoff redux: micro-based exchange rate forecasting
2005, National Bureau of Economic Research
Electronic resource
in English
|
aaaa
|
2
Meese-Rogoff redux: micro-based exchange rate forecasting
2005, National Bureau of Economic Research
in English
|
zzzz
Libraries near you:
WorldCat
|
Book Details
Edition Notes
Includes bibliographical references.
Title from PDF file as viewed on 2/8/2005.
Also available in print.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.
Classifications
The Physical Object
ID Numbers
Community Reviews (0)
Feedback?History
- Created April 1, 2008
- 5 revisions
Wikipedia citation
×CloseCopy and paste this code into your Wikipedia page. Need help?
December 13, 2020 | Edited by MARC Bot | import existing book |
July 31, 2012 | Edited by VacuumBot | Updated format '[electronic resource] :' to 'Electronic resource' |
December 12, 2009 | Edited by WorkBot | link works |
October 31, 2008 | Edited by ImportBot | add URIs from original MARC record |
April 1, 2008 | Created by an anonymous user | Imported from Scriblio MARC record. |