A Selective Survey of Subsequent Studies

Imad A. Moosa and Kelly Burns
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Imad A. Moosa: Monash University
Kelly Burns: Curtin University

Chapter 2 in Demystifying the Meese-Rogoff Puzzle, 2015, pp 14-31 from Palgrave Macmillan

Abstract: Abstract The literature on the Meese-Rogoff puzzle deals with attempts to resolve the puzzle and overturn the Meese and Rogoff results. While various studies show that the results cannot be overturned, some economists have claimed victory over the random walk, but most of these claims are groundless. A conclusion like this is reached either without appropriate statistical testing to find out if the difference in the root mean square errors is statistically significant or through the use of dynamic models, which amounts to beating the random walk with a random walk. The literature also deals with various issues such as the effect of the forecasting horizon and whether the appropriate benchmark should be the random walk with or without drift.

Keywords: Exchange Rate; Random Walk; Forecast Error; Forecast Accuracy; Forecast Performance (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-45248-1_2

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DOI: 10.1057/9781137452481_2

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