期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2016
出版社：European Central Bank
摘要：We run a real exchange rate forecasting \horse race", which highlights that twoprinciples hold. First, forecasts should not replicate the high volatility of exchangerates observed in sample. Second, models should exploit the mean reversion of thereal exchange rate over long horizons. Abiding by these principles, an open-economyDSGE model performs well in real exchange rate forecasting. However, it fails toforecast nominal exchange rates better than the random walk. We nd that the rootcause is its inability to predict domestic and foreign ination. This shortcoming leadsus toward simpler ways to outperform the random walk.
关键词：Forecasting; Exchange Rates; New Open Economy Macroeconomics;Mean Reversion.
