3 edition of The out-of-sample failure of empirical exchange rate models found in the catalog.
The out-of-sample failure of empirical exchange rate models
|Statement||by Richard Meese and Kenneth Rogoff|
|Series||International finance discussion papers -- 204|
|Contributions||Rogoff, Kenneth S, Board of Governors of the Federal Reserve System (U.S.)|
|The Physical Object|
|Number of Pages||53|
We also assess the validity of asset-market-based exchange rate models on the basis of the evidence on their out-of-sample forecasting performance. In fact, we dis-cuss selected articles on exchange rate predictability, recording the difﬁculties encountered in using standard empirical models of exchange rate determination to predict the nomi-. Schinasi Garry and P.A.V.B. Swamy The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change. Journal of International Money and Finance 8, – .
empirical exchange rate models occasionally generate apparently satis factory explanatory power in-sample, they generally fail badly in out of-sample forecasting tests in the sense that they fail to outperform a random walk." Bacchetta and van Wincoop (, p. ) observe, "The. Exchange Rate Predictions: An Investigation of the Short-run Predictive Power of Fundamentals “The Out-of-sample Failure of Empirical Exchange Rate. R. Meese, K. Rogoff; Predictability”, American Economic Review, ; Model selection and Akaike Information Criteria: An example from wine ratings and prices.
Both empirical and theoretical research are represented, and the contributors analyze such issues as the performance of various models of exchange rate determination, the role of risk and speculation in the forward market for foreign exchange, the rational expectations hypothesis in such markets, the performance of monetary policy in ten industrial countries, the role that labor market. The IMF invests significant resources in developing models to estimate equilibrium exchange rates. This column assesses the predictive power of one vintage of IMF exchange rate models during – The models performed exceptionally well at predicting exchange rate movements over the medium run, which is particularly remarkable given that the period covered the.
Phonological issues in language learning
Biophysical soil resources and land evaluation of the northeast coal study area, 1976-1977
Sante securite sociale
Their secret ways
The creativity market
Letter to C.D.Gaitskell
military system of Sweden
The golden ghetto
Time to stop running
Photography in the visual arts
Gerlachia (Fusarium) patch of turf
First official report of the Organizing Committee of the Games for the XXIII Olympiad
Solid State Electronics (Instructors Manual)
Recreation master plan for Strawberry Reservoir enlargement, Bonneville Unit, Central Utah Project
Field distribution and entrainment of fish larvae and eggs at the Donald C. Cook Nuclear Power Plant, southeastern Lake Michigan, 1980-1982
Development and implementation of state legislation for the aging
Symposium and public seminar
Time to dream
The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification. Richard Meese and Kenneth Rogoff Introduction A companion study (Meese and Rogoff ) compared the out-of-sample fit of various structural and time-series exchange rate models and finds that the random walk model1 performs as well as any estimated.
Meese, Richard, Kenneth Rogoff, and Jacob Frenkel. “The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification Cited by: Corrections. All material on this The out-of-sample failure of empirical exchange rate models book has been provided by the respective publishers and authors.
You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:nbr:nberchSee general information about how to correct material in RePEc. For technical questions regarding this item, or to correct its authors, title, abstract.
The out-of-sample failure of empirical exchange rate models: Sampling error or misspecification. Author. Richard Meese and Kenneth Rogoff. Corrections. All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedgifSee general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic. Thus, from a methodological standpoint, our paper supports the view that out-of-sample fit is an important criterion to consider when evaluating empirical exchange rate models.
The out-of-sample failure of the estimated univariate times series models and the vector autoregression suggests that major-country exchange rates are well-approximated by a random walk model (without drift).
outperform a random walk in out-of-sample point forecasting by Clarida and Taylor () and Clarida et al. However, we assess the ability of these models to forecast out-of-sample the one-step-ahead density of nominal exchange rates, hence filling, to some extent, the important gap in the literature described above.
and ranking of a set of empirical exchange rate models, and construct combined forecasts based on Bayesian model averaging. More importantly, we assess the economic value of the in-sample and out-of-sample forecasting power of the empirical models, and ﬁnd two key results: (1) a risk-averse investor will pay a high performance fee to switch.
The use of this long out-of-sample forecasting period has the added advantage that it ensures that there are many forecast observations to conduct inference upon. Estimation and forecasting. We adopt the convention in the empirical exchange rate modeling literature of implementing “rolling regressions” established by Meese and Rogoff.
CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): A companion study (Meese and Rogoff ) compared the out-of-sample fit of various structural and time-series exchange rate models and finds that the random walk model1 performs as well as any estimated model at one- to twelve-month horizons for s dollar/mark, dol.
Out-of-sample failure of empirical exchange rate models (OCoLC) Material Type: Government publication, National government publication, Internet resource: Document Type: Book, Internet Resource: All Authors / Contributors: Richard Meese; Kenneth S Rogoff; Board of Governors of the Federal Reserve System (U.S.).
The BEKK model, which forecasted high exchange rate volatility for the yearis very robust for modelling the exchange rates in Ghana.
The mean equation of the DCC model is also robust to. By Richard Meese and Kenneth Rogoff; The out-of-sample failure of empirical exchange rate models: sampling error or misspecification. The failure of various exchange rate models to explain the behaviour of the Deutsche mark/dollar exchange rate may be attributed to a number of factors, such as the instability of money demand.
work on exchange rates still has not produced models that are sufficiently statistically satisfactory to be considered reliable and robust In particular, although empirical exchange rate models occasionally generate apparently satisfactory explanatory power in-sample, they generally fail badly in out-of-sample.
Majority of the foreign exchange (FX) literature uses a well‐established statistical methodology for evaluating exchange rate predictability. This methodology involves statistical tests of the null hypothesis of equal predictive ability between the RW benchmark and an alternative empirical exchange rate model.
Mussa, M. () ‘Empirical Regularities in the Behaviour of Exchange Rates and Theories of the Foreign Exchange Market’, in K. Brunner and A. Meltzer (eds), Policies for Employment, Prices and Exchange Rates, Carnegie-Rochester Conference Series on.
West and I (3) question the standard criterion for judging exchange rate models. Many exchange rate models can be written so that they explain the exchange rate as a weighted sum of current "fundamentals" (such as money supplies, prices, output levels) and the expected future value of the exchange rate.
Structural exchange rate modeling has proven extremely difficult during the recent post float. The disappointment climaxed with the papers of Meese and Rogoff (a, b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates.
of exchange rate theories are vindicated in the laboratory. But I have also used a controlled environment to indicate perhaps that the broad empirical failure of many exchange rate models may have to do with the disparate secular inﬂation rates that the major industrial have experienced.
An extensive literature that studied out-of-sample performance of empirical exchange rate models following Meese and Rogoff’s (a) seminal paper has not yet convincingly overturned their result of no out-of-sample predictability of exchange rates. The recent empirical research by .An emoirical investigation into the causes of failure of the monetary model of the exchange rate, ().
An empirical investigation of the long-run behavior of real exchange rates.The failure of open-economy macro theory to explain exchange rate behavior using economic fundamentals has prevailed in the international economics literature since the seminal papers by Meese and Rogoff (a, b), who examine the out-of-sample performance of three empirical exchange rate models during the post-Bretton Woods period and conclude that economic models of exchange rate determination of the