The Monetary Model of Exchange Rates is Better than the Random Walk in Out-Of-Sample Forecasting

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...

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Bibliographic Details
Main Authors: Moosa, I., Burns, Kelly
Format: Journal Article
Published: Routledge 2013
Subjects:
random walk
forecasting
monetary model
direction accuracy
Online Access:http://hdl.handle.net/20.500.11937/15067

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