The Exchange Rate Forecasting Puzzle

Francis Vitek

International Finance from University Library of Munich, Germany

Abstract: We survey and update the empirical literature concerning the predictability of nominal exchange rates using structural macroeconomic models over the recent floating exchange rate period. In particular, we consider both flexible and sticky price versions of the monetary model of nominal exchange rate determination. In agreement with the existing empirical literature, we find that nominal exchange rate movements are difficult to forecast, with a random walk generally dominating the monetary model in terms of predictive accuracy conditional on observed monetary fundamentals at all horizons.

Keywords: Exchange rate forecasting; Monetary model (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2005-09-14
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-for and nep-ifn
Note: Type of Document - pdf; pages: 17
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/if/papers/0509/0509005.pdf (application/pdf)

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:wpa:wuwpif:0509005

Access Statistics for this paper

More papers in International Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).