haku: @author Blomberg, B. / yhteensä: 2
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| Tekijä: | Blomberg, B. Hess, G. |
| Otsikko: | Politics and exchange rate forecasts |
| Lehti: | Journal of International Economics
1997 : AUG, VOL. 43:1/2, p. 189-206 |
| Asiasana: | POLITICS EXCHANGE RATES ECONOMICS |
| Kieli: | eng |
| Tiivistelmä: | Standard exchange rate models perform poorly in out-of-sample forecasting when compared to the random walk model. The authors posit part of the poor performance of these models maybe due to omission of political factors. The authors test this hypothesis by including political variables that capture party-specific, election-specific and candidate-specific characteristics. Surprisingly, they find that their political model outperforms the random walk in out-of-sample forecasting at 1-12 month horizons for the pound/dollar, mark/dollar, pound/mark and the trade-weighted dollar , mark and pound exchange rates. |
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