Demystifying the Meese-Rogoff Puzzle
For the past 30 years international monetary economists have believed that exchange rate models cannot outperform the random walk in out-of-sample forecasting as a result of the 1983 paper written by Richard Meese and Kenneth Rogoff. Marking the culmination of their extensive research into the Meese...
| Main Authors: | , |
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| Format: | Book |
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Palgrave Macmillan
2015
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| Online Access: | http://hdl.handle.net/20.500.11937/34898 |
| _version_ | 1848754348853559296 |
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| author | Moosa, I. Burns, Kelly |
| author_facet | Moosa, I. Burns, Kelly |
| author_sort | Moosa, I. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | For the past 30 years international monetary economists have believed that exchange rate models cannot outperform the random walk in out-of-sample forecasting as a result of the 1983 paper written by Richard Meese and Kenneth Rogoff. Marking the culmination of their extensive research into the Meese-Rogoff puzzle, Moosa and Burns challenge the orthodoxy by demonstrating that the naïve random walk model can be outperformed by exchange rate models when forecasting accuracy is measured by metrics that do not rely exclusively on the magnitude of forecasting error. The authors present compelling evidence, supported by their own measure: the 'adjusted root mean square error', to finally solve the Meese-Rogoff puzzle and provide a new alternative. Demystifying the Meese-Rogoff Puzzle will appeal to academics with an interest in exchange rate economics and international monetary economics. It will also be a useful resource for central banks and financial institutions. |
| first_indexed | 2025-11-14T08:38:59Z |
| format | Book |
| id | curtin-20.500.11937-34898 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:38:59Z |
| publishDate | 2015 |
| publisher | Palgrave Macmillan |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-348982017-01-30T13:46:22Z Demystifying the Meese-Rogoff Puzzle Moosa, I. Burns, Kelly Random Walk Direction Accuracy Forecasting Exchange Rate Models For the past 30 years international monetary economists have believed that exchange rate models cannot outperform the random walk in out-of-sample forecasting as a result of the 1983 paper written by Richard Meese and Kenneth Rogoff. Marking the culmination of their extensive research into the Meese-Rogoff puzzle, Moosa and Burns challenge the orthodoxy by demonstrating that the naïve random walk model can be outperformed by exchange rate models when forecasting accuracy is measured by metrics that do not rely exclusively on the magnitude of forecasting error. The authors present compelling evidence, supported by their own measure: the 'adjusted root mean square error', to finally solve the Meese-Rogoff puzzle and provide a new alternative. Demystifying the Meese-Rogoff Puzzle will appeal to academics with an interest in exchange rate economics and international monetary economics. It will also be a useful resource for central banks and financial institutions. 2015 Book http://hdl.handle.net/20.500.11937/34898 Palgrave Macmillan restricted |
| spellingShingle | Random Walk Direction Accuracy Forecasting Exchange Rate Models Moosa, I. Burns, Kelly Demystifying the Meese-Rogoff Puzzle |
| title | Demystifying the Meese-Rogoff Puzzle |
| title_full | Demystifying the Meese-Rogoff Puzzle |
| title_fullStr | Demystifying the Meese-Rogoff Puzzle |
| title_full_unstemmed | Demystifying the Meese-Rogoff Puzzle |
| title_short | Demystifying the Meese-Rogoff Puzzle |
| title_sort | demystifying the meese-rogoff puzzle |
| topic | Random Walk Direction Accuracy Forecasting Exchange Rate Models |
| url | http://hdl.handle.net/20.500.11937/34898 |