The Monetary Model of Exchange Rates is Better than the Random Walk in Out-Of-Sample Forecasting
It is demonstrated that the monetary model of exchange rates is better than the random walk in out-of-sample forecasting if forecasting accuracy is measured by metrics that take into account the magnitude of the forecasting errors and the ability of the model to predict the direction of change. It i...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
Routledge
2013
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/15067 |