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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Sveriges Riksbank Working Paper Series ; No. 213
- Classification
-
Wirtschaft
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Foreign Exchange
- Subject
-
New Open Economy Macroeconomics
real exchange rate
nominal exchange rate
forecasting
Neue Makroökonomik offener Volkswirtschaften
Wechselkurs
Kaufkraftparität
Prognoseverfahren
Schweden
- Event
-
Geistige Schöpfung
- (who)
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Sellin, Peter
- Event
-
Veröffentlichung
- (who)
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Sveriges Riksbank
- (where)
-
Stockholm
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Sellin, Peter
- Sveriges Riksbank
Time of origin
- 2007
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