Measuring the economic significance of structural exchange rate models

Mario Cerrato, John Crosby and Muhammad Kaleem

Working Papers from Business School - Economics, University of Glasgow

Abstract: This paper examines both the in-sample and out-of-sample performance of three monetary fundamental models of exchange rates and compares their out-of-sample performance to that of a simple Random Walk model. Using a data-set consisting of five currencies at monthly frequency over the period January 1980 to December 2009 and a battery of newly developed performance measures, the paper shows that monetary models do better (in-sample and out-of- sample forecasting) than a simple Random Walk model.

Keywords: monetary models; forecasting (search for similar items in EconPapers)
JEL-codes: F31 G10 (search for similar items in EconPapers)
Date: 2011-06
New Economics Papers: this item is included in nep-cba, nep-for and nep-mon
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http://www.gla.ac.uk/media/media_200683_en.pdf (application/pdf)

Related works:
Working Paper: Measuring the Economic Significance of Structural Exchange Rate Models (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:gla:glaewp:2011_17

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