Arbeitspapier
Evaluation of exchange rate forecasts for the kronas nominal effective exchange rate
In this paper we evaluate the out of sample forecasting performance of a large number of models belonging to a popular class of exchange rate models. Forecasts of the Swedish nominal effective exchange rate for the period 1980-2000 are performed using both single equation estimation and VAR approaches. The forecast horizons used were from 1 to 12 quarters. None of the models evaluated could convincingly outperform a random walk alternative.
- Sprache
-
Englisch
- Erschienen in
-
Series: Sveriges Riksbank Working Paper Series ; No. 133
- Klassifikation
-
Wirtschaft
Foreign Exchange
Open Economy Macroeconomics
Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Applications
- Thema
-
Exchange rates
monetary approach
forecasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Degrér, Henrik
Hansen, Jan
Sellin, Peter
- Ereignis
-
Veröffentlichung
- (wer)
-
Sveriges Riksbank
- (wo)
-
Stockholm
- (wann)
-
2001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 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
- Degrér, Henrik
- Hansen, Jan
- Sellin, Peter
- Sveriges Riksbank
Entstanden
- 2001
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