Exchange Rate Forecasts at Long Horizons: Are Error-Correction Models Superior?

Michael Bleaney

Canadian Journal of Economics, 1998, vol. 31, issue 4, 852-864

Abstract: The out-of-sample forecasting performance of error-correction models of exchange rates is tested on recent monthly data and on annual data from 1900 to 1995. The results for the monthly data set strongly favor the naive model, even when the series are pooled. In the annual data, the best model is usually a regression model of some form, but there is no evidence that a researcher can pick a regression model that outpredicts a naive model more often than not, either by choosing at random or by selecting the model that best fits past data.

JEL-codes: F31 (search for similar items in EconPapers)
Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://links.jstor.org/sici?sici=0008-4085%281998 ... RFALH%3E2.0.CO%3B2-L (text/html)
only available to JSTOR subscribers

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:cje:issued:v:31:y:1998:i:4:p:852-864

Ordering information: This journal article can be ordered from
https://www.economic ... ionen/membership.php

Access Statistics for this article

Canadian Journal of Economics is currently edited by Zhiqi Chen

More articles in Canadian Journal of Economics from Canadian Economics Association Canadian Economics Association Prof. Werrner Antweiler, Treasurer UBC Sauder School of Business 2053 Main Mall Vancouver, BC, V6T 1Z2. Contact information at EDIRC.
Bibliographic data for series maintained by Prof. Werner Antweiler ().