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Medium-term exchange rate forecasting : what can we expect?

Author: Guy Meredith; International Monetary Fund. Western Hemisphere Department.
Publisher: [Washington, D.C.] : International Monetary Fund, ©2003.
Series: IMF working paper, WP/03/21.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Meredith, Guy.
Medium-term exchange rate forecasting.
[Washington, D.C.] : International Monetary Fund, ©2003
(OCoLC)51777876
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Guy Meredith; International Monetary Fund. Western Hemisphere Department.
ISBN: 1451891768 9781451891768 1281604739 9781281604736
OCLC Number: 647218141
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (31 pages).
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: IMF working paper, WP/03/21.
Responsibility: Guy Meredith.

Abstract:

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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