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  • 标题:Why is it so difficult to beat the random walk forecast of exchange rates?
  • 本地全文:下载
  • 作者:Lutz Kilian ; Mark P. Taylor
  • 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:2001
  • 出版社:European Central Bank
  • 摘要:We propose a nonlinear econometric model that can explain both the observed volatility and the persistence of real and nominal exchange rates. The model implies that near equilibrium, the nominal exchange rate will be well approximated by a random walk process. Large departures from fundamentals, in contrast, imply meanreverting behavior toward fundamentals. Moreover, the predictability of the nominal exchange rate relative to the random walk benchmark tends to improve at longer horizons. We test the implications of the model and find strong evidence of exchange rate predictability at horizons of two to three years, but not at shorter horizons.
  • 关键词:Purchasing power parity; Real exchange rate; Random walk; Economic;models of exchange rate determination; Long-horizon regression tests.cmd=(
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