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.
- Language
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Englisch
- Bibliographic citation
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Series: Sveriges Riksbank Working Paper Series ; No. 133
- Classification
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Wirtschaft
Foreign Exchange
Open Economy Macroeconomics
Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Applications
- Subject
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Exchange rates
monetary approach
forecasting
- Event
-
Geistige Schöpfung
- (who)
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Degrér, Henrik
Hansen, Jan
Sellin, Peter
- Event
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Veröffentlichung
- (who)
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Sveriges Riksbank
- (where)
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Stockholm
- (when)
-
2001
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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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
- Degrér, Henrik
- Hansen, Jan
- Sellin, Peter
- Sveriges Riksbank
Time of origin
- 2001
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Real Exchange Rate and Consumption Fluctuations following Trade Liberalization
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Real Exchange Rate and Consumption Fluctuations following Trade Liberalization
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Sources of Real Exchange Rate Fluctuations in the Nordic Countries
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Exchange Rate Puzzles: A Tale of Switching Attractors
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