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|c 5.00 USD
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|z 9781451843934
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Meredith, Guy.
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|a Medium-Term Exchange Rate Forecasting :
|b What Can We Expect? /
|c Guy Meredith.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2003.
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|a 1 online resource (31 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a The medium-term predictability of exchange rate movements is examined using three models of fundamentals: purchasing power parity, the monetary model, and uncovered interest parity. While the first two approaches yield favorable in-sample results, these largely reflect finite-sample estimation biases. Adjusting for these biases, there is little evidence of predictability, consistent with the lack of systematic improvement in out-of-sample forecasting performance relative to a random walk. Uncovered interest parity fares better at long horizons, but reflects information already embodied in market prices; in this sense, it may not be useful as an indicator of exchange rate misalignment. While more elaborate models of fundamentals might have better medium-term forecasting properties, careful attention must be paid to finite-sample biases in assessing predictability.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2003/021
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2003/021/001.2003.issue-021-en.xml
|z IMF e-Library
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