Short-term exchange rate predictability

Yu Ren (), Qin Wang and Xiangyu Zhang

Finance Research Letters, 2019, vol. 28, issue C, 148-152

Abstract: In this paper, we revisit the monetary model in growth rates in explaining exchange rates. Different with the literature, we consider the cross-sectional dependence when using the panel data to predict exchange rates. By using quarterly and monthly data in 30 countries, we find that the monetary model in growth rates can outperform random walk with and without drift in the prediction.

Keywords: Monetary model; Exchange rate; Out-of-sample prediction; Panel data (search for similar items in EconPapers)
JEL-codes: F31 F47 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S154461231730538X
Full text for ScienceDirect subscribers only

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:eee:finlet:v:28:y:2019:i:c:p:148-152

DOI: 10.1016/j.frl.2018.04.009

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().