Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?

Lutz Kilian

Journal of Applied Econometrics, 1999, vol. 14, issue 5, 491-510

Abstract: The use of a new bootstrap method for small-sample inference in long-horizon regressions is illustrated by analysing the long-horizon predictability of four major exchange rates, and the findings are reconciled with those of an earlier study by Mark (1995). While there is some evidence of exchange rate predictability, contrary to earlier studies, no evidence is found of higher predictability at longer horizons. Additional evidence is presented that the linear VEC model framework underlying the empirical study is likely to be misspecified, and that the methodology for constructing bootstrap p-values for long-horizon regression tests may be fundamentally flawed.

Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (323)

Downloads: (external link)
http://qed.econ.queensu.ca:80/jae/1999-v14.5/ Supporting data files and programs (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jae:japmet:v:14:y:1999:i:5:p:491-510

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().