search query: @indexterm Error correction models / total: 21
reference: 14 / 21
| Author: | Wu, J.-L. Chen, S.-L. |
| Title: | Nominal exchange-rate prediction: evidence from a nonlinear approach |
| Journal: | Journal of International Money and Finance
2001 : AUG, VOL. 20:4, p. 521-532 |
| Index terms: | EXCHANGE RATES FORECASTING ERROR CORRECTION MODELS |
| Language: | eng |
| Abstract: | In this paper the authors employ a nonlinear error- correction model to explain the dynamics of exchange rates. Starting from a stylized monetary model of exchange rates, the authors found that the nonlinear error- correction model is superior to a range of alternative forecasts, including random walks and the conventional time-varying parameters model even when forecast horizons are short. The paper is organized as follows: Section 2 derives the equation of exchange rates based on the stylized monetary model discussed by Mussa. Empirical results are presented in Section 3. The authors report not only the model's estimation results but also the forecasting contest among the model, random walks and the conventional TVP model. Finally, conclusions are summarized in the last section. |
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