1 option
The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond / Richard Clarida, Lucio Sarno, Mark Taylor, Giorgio Valente.
- Format:
- Book
- Author/Creator:
- Clarida, Richard.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w8601.
- NBER working paper series no. w8601
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2001.
- Summary:
- A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. However, there is evidence that the term structure of forward premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display nonlinearities. This paper proposes a term-structure forecasting model of exchange rates based on a regime-switching vector equilibrium correction model which is novel in this context. Our model significantly outperforms both a random walk and a linear term-structure vector equilibrium correction model for four major dollar rates across a range of horizons.
- Notes:
- Print version record
- November 2001.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.