 Modélisation et prévision du taux de change réel effectif américainRené Lalonde and Patrick Sabourin Staff Working Papers from Bank of Canada Abstract: This study describes a simple model for predicting the real U.S. exchange rate. Starting with a large number of error-correction models, the authors choose the one giving the best out-of-sample forecasts over the period 1992Q3 - 2002Q1. In the selected model, the effective real exchange rate is cointegrated with relative productivity and the real price of oil. The short-term dynamics depend upon the evolution of the difference in GDP growth rates, the first difference of the ratio of net foreign assets to GDP, the real interest rate differential, and shocks that have a temporary effect on the real price of oil and relative productivity. Out-of-sample forecasts reveal that the model generates mean-squared errors that are systematically and statistically much lower than those from a random-walk or an autoregressive model. This result is largely due to the great stability of the parameters of the cointegration relationship. Keywords: Econometric and statistical methods; Economic models; International topics; Exchange rates (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:03-3 Access Statistics for this paper More papers in Staff Working Papers from Bank of Canada 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada. Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.