Journal article | Zeitschriftenartikel
Forecasting and combining competing models of exchange rate determination
This paper investigates the out-of-sample forecast performance of a set of competing models of exchange rate determination. We compare standard linear models with models that characterize the relationship between exchange rate and its underlying fundamentals by nonlinear dynamics. Linear models tend to outperform at short forecast horizons especially when deviations from long-term equilibrium are small. In contrast, nonlinear models with more elaborate mean-reverting components dominate at longer horizons especially when deviations from long-term equilibrium are large. The results also suggest that combining different forecasting procedures generally produces more accurate forecasts than can be attained from a single model.
- Umfang
-
Seite(n): 3455-3480
- Sprache
-
Englisch
- Anmerkungen
-
Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
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Applied Economics, 42(27)
- Thema
-
Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Volkswirtschaftslehre
Prognoseverfahren
Wechselkurs
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Altavilla, Carlo
Grauwe, Paul de
- Ereignis
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Veröffentlichung
- (wo)
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Vereinigte Staaten von Amerika
- (wann)
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2008
- DOI
- URN
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urn:nbn:de:0168-ssoar-242984
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:26 MESZ
Datenpartner
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Altavilla, Carlo
- Grauwe, Paul de
Entstanden
- 2008
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