Limit search to available items
Book Cover
E-book
Author Meredith, Guy, author.

Title Medium-term exchange rate forecasting : what can we expect? / Guy Meredith
Published [Washington, D.C.] : International Monetary Fund, ©2003

Copies

Description 1 online resource (31 pages)
Series IMF working paper, 2227-8885 ; WP/03/21
IMF working paper ; WP/03/21.
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
Bibliography Includes bibliographical references (pages 28-31)
Notes 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. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL
English
digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL
Print version record
Subject Foreign exchange rates -- Forecasting
Purchasing power parity.
Foreign exchange rates -- Forecasting
Purchasing power parity
Form Electronic book
Author International Monetary Fund. Western Hemisphere Department.
ISBN 1451891768
9781451891768
1281604739
9781281604736
1462335950
9781462335954
1452746265
9781452746265
9786613785428
6613785423
9781451843934
1451843933