期刊名称：Central European Journal of Economic Modelling and Econometrics
印刷版ISSN：2080-0886
电子版ISSN：2080-119X
出版年度：2012
期号：4
页码：151-167
语种：English
出版社：Polska Akademia Nauk
摘要：The literature on exchange rate forecasting is vast. Many researchers havetested whether implications of theoretical economic models or the use of advanced econometric techniques can help explain future movements in exchangerates. The results of the empirical studies for major world currencies show thatforecasts from a naive random walk tend to be comparable or even better thanforecasts from more sophisticated models. In the case of the Polish zloty, thediscussion in the literature on exchange rate forecasting is scarce. This articlefills this gap by testing whether non-linear time series models are able to generate forecasts for the nominal exchange rate of the Polish zloty that are moreaccurate than forecasts from a random walk. Our results confirm the main findings from the literature, namely that it is difficult to outperform a naive randomwalk in exchange rate forecasting contest.
