期刊名称：Quantitative and Qualitative Analysis in Social Sciences
印刷版ISSN：1752-8925
出版年度：2010
卷号：4
期号：2
页码：49-81
出版社：Quantitative and Qualitative Analysis in Social Sciences
摘要：We examine the predictive power of real time linear monetary models with possible nonlinear adjustment inforecast errors for the GBP/USD exchange rates. Real time revisions of UK and US monetary aggregatesand output are significant; therefore the use of final data on fundamentals in forecasting exchange rates mayyield misleading inferences. By studying recursive forecast errors we claim that in several instances, realtime fundamental equilibrium values of exchange rates may be determined in a linear fashion, whereas theadjustment towards fundamentals driven equilibrium values may take a discrete or smooth nonlinear form.Revisions in fundamentals, particularly in the US and UK monetary aggregates and real output, seem tomatter mainly for short term forecastability of exchange rates. We find short term forecastability in the formof discrete nonlinear adjustment in some real time vintages. We also document long term forecastability inthe form of a smooth nonlinear adjustment towards fundamentals determined equilibrium values of exchangerates.
关键词：Monetary model; exchange rates; nonlinear adjustment; real time; unit roots; forecasting
