Measuring the Economic Significance of Structural Exchange Rate Models
نویسندگان
چکیده
This paper examines both the in-sample and out-of-sample performance of three monetary fundamental models of exchange rates and compares their out-of-sample performance to that of a simple Random Walk model. Using a data-set consisting of five currencies at monthly frequency over the period January 1980 to December 2009 and a battery of newly developed performance measures, the paper shows that monetary models do better (in-sample and outofsample forecasting) than a simple Random Walk model.
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