Arbeitspapier
Using a new open economy macroeconomics model to make real nominal exchange rate forecasts
In this paper we undertake an out-of-sample evaluation of the ability of a model to forecast the Swedish Krona's real and nominal effective exchange rate, using a cointegrating relation between the real exchange rate, relative output, terms of trade and net foreign assets (or alternatively the trade balance). The cointegrating relation is derived from a theoretical model of the New Open Economy Macroeconomics type. The forecasting performance of our estimated vector error correction model is quite good once the dynamics of the model have been augmented with an interest rate differential.
- Sprache
-
Englisch
- Erschienen in
-
Series: Sveriges Riksbank Working Paper Series ; No. 213
- Klassifikation
-
Wirtschaft
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Foreign Exchange
- Thema
-
New Open Economy Macroeconomics
real exchange rate
nominal exchange rate
forecasting
Neue Makroökonomik offener Volkswirtschaften
Wechselkurs
Kaufkraftparität
Prognoseverfahren
Schweden
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Sellin, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
Sveriges Riksbank
- (wo)
-
Stockholm
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Sellin, Peter
- Sveriges Riksbank
Entstanden
- 2007
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