The Continuing Puzzle of Short Horizon Exchange Rate Forecasting / Kenneth S. Rogoff, Vania Stavrakeva.

Format:

Book

Author/Creator:

Rogoff, Kenneth S.

Contributor:

National Bureau of Economic Research.

Stavrakeva, Vania.

Series:

Working Paper Series (National Bureau of Economic Research) no. w14071.

NBER working paper series no. w14071

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2008.

Summary:

Are structural models getting closer to being able to forecast exchange rates at short horizons? Here we argue that misinterpretation of some new out-of-sample tests for nested models, over-reliance on asymptotic test statistics, and failure to sufficiently check robustness to alternative time windows have led many studies to overstate even the relatively thin positive results that have been found. We find that by allowing for common cross-country shocks in our panel forecasting specification, we are able to generate some improvement, but even that improvement is not entirely robust to the forecast window, and much of the gain appears to come from non-structural rather than structural factors.

Notes:

Print version record

June 2008.