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Demystifying the Meese-Rogoff puzzle

Author: Imad A Moosa; Kelly Burns, (Research fellow at Curtin Graduate School of Business)
Publisher: Houndmills, Basingstoke, Hampshire ; New York, NY : Palgrave Macmillan, 2015. ©2015
Series: Palgrave pivot.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
For the past 30 years international monetary economists have believed that exchange rate models cannot outperform the random walk in out-of-sample forecasting as a result of the 1983 paper written by Richard Meese and Kenneth Rogoff. Marking the culmination of their extensive research into the Meese-Rogoff puzzle, Moosa and Burns challenge the orthodoxy by demonstrating that the naïve random walk model can be  Read more...
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Document Type: Book
All Authors / Contributors: Imad A Moosa; Kelly Burns, (Research fellow at Curtin Graduate School of Business)
ISBN: 1137452471 9781137452474
OCLC Number: 900623249
Description: xiv, 150 pages ; 23 cm.
Contents: The Meese-Rogoff puzzle --
A selective survey of subsequent studies --
Basic methodology, data and results --
Alternative measures of forecasting accuracy --
Stochastic movements in the underlying parameters --
Model misspecification --
The effect of non-linearities --
Simultaneous equation bias --
Sampling errors --
Modelling expectations --
Concluding remarks.
Series Title: Palgrave pivot.
Responsibility: Imad A. Moosa and Kelly Burns.

Abstract:

For the past 30 years international monetary economists have believed that exchange rate models cannot outperform the random walk in out-of-sample forecasting as a result of the 1983 paper written by  Read more...

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