search query: @author Groen, J. / total: 2
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Author: | Groen, J. |
Title: | Long horizon predictability of exchange rates: is it for real? |
Journal: | Empirical Economics
1999 : VOL. 24:3, p. 451-469 |
Index terms: | ECONOMICS EXCHANGE RATES FORECASTING |
Language: | eng |
Abstract: | This paper reexamines recent results on the predictability of nominal exchange rate returns by means of fundamental models. Using a monthly sample of the post-Breton Woods period the author shows that the in-sample fit between long-horizon exchange rate returns and various models is not significant if we correct for the persistence that is caused by overlapping data and spurious regression phenomena. The long horizon out-of-sample predictive power of the fundamental exchange rate models is found to be very weak. |
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