Out-of-sample forecasting performance of single equation monetary exchange rate models in Norwegian currency markets

Harald Reinton and Steven Ongena

Applied Financial Economics, 1999, vol. 9, issue 6, 545-550

Abstract: This study compares the out-of-sample forecasting performance of single-equation monetary exchange rate models against the random walk. We look at spot exchange rates of Norwegian Krone vis-a-vis four major currencies from June 1986 until October 1996. We find that an error correction model outperforms the random walk in out-of-sample forecasting exercises at six and twelve month horizons.

Date: 1999
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DOI: 10.1080/096031099332005

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