The Resource Medium-term exchange rate forecasting : what can we expect?, Guy Meredith

Medium-term exchange rate forecasting : what can we expect?, Guy Meredith

Label
Medium-term exchange rate forecasting : what can we expect?
Title
Medium-term exchange rate forecasting
Title remainder
what can we expect?
Statement of responsibility
Guy Meredith
Creator
Contributor
Author
Subject
Language
eng
Summary
The medium-term predictability of exchange rate movements is examined using three models of fundamentals: purchasing power parity, the monetary model, and uncovered interest parity. While the first two approaches yield favorable in-sample results, these largely reflect finite-sample estimation biases. Adjusting for these biases, there is little evidence of predictability, consistent with the lack of systematic improvement in out-of-sample forecasting performance relative to a random walk. Uncovered interest parity fares better at long horizons, but reflects information already embodied in market prices; in this sense, it may not be useful as an indicator of exchange rate misalignment. While more elaborate models of fundamentals might have better medium-term forecasting properties, careful attention must be paid to finite-sample biases in assessing predictability
Member of
Action
digitized
Cataloging source
OCLCE
Index
no index present
LC call number
HG3881.5.I58
LC item number
W67 no.03/21
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
IMF working paper
Series volume
WP/03/21
Label
Medium-term exchange rate forecasting : what can we expect?, Guy Meredith
Publication
Antecedent source
file reproduced from original
Bibliography note
Includes bibliographical references (pages 28-31)
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
black and white
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Control code
ocn647218141
Dimensions
unknown
Extent
1 online resource (31 pages)
File format
one file format
Form of item
online
Isbn
9781451891768
Media category
computer
Media MARC source
rdamedia
Media type code
c
http://library.link/vocab/recordID
.b37171872
Reproduction note
Electronic reproduction.
Specific material designation
remote
System control number
  • (OCoLC)647218141
  • imf1281604739
System details
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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