search query: @indexterm EXCHANGE RATES / total: 1242
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Author: | Faust, J. Rogers, J. H. Wright J. H. |
Title: | Exchange Rate Forecasting: the Errors We've Really Made |
Journal: | Journal of International Economics
2003 : MAY, VOL. 60:1, p. 35-60 |
Index terms: | EXCHANGE RATES FORECASTING MODELS REAL TIME RANDOM WALKS |
Language: | eng |
Abstract: | The authors examine the real-time forecasting performance of standard exchange rate models, using dozens of different vintages of data. Favorable evidence of long-horizon exchange rate predictability for the DM and Yen found in Mark is present in only a two-year window of data vintages around that originally used. Approximately one-third of the improved forecasting performance over a random walk is eventually undone by data revisions. The authors also find the models consistently perform better using original release data than fully-revised data, and sometimes forecast better using real-time forecasts of future fundamentals instead of actual future fundamentals, contradicting a cherished presumption dating back to Meese and Rogoff. |
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