Demystifying the Meese–Rogoff puzzle: structural breaks or measures of forecasting accuracy?
Structural breaks have been suggested by several economists as a possible explanation for the Meese–Rogoff puzzle, in the sense that an exchange rate model can outperform the random walk in terms of the out-of-sample forecasting error if the period under investigation is free of structural breaks. T...
| Main Authors: | , |
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| Format: | Journal Article |
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Routledge
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/53358 |
| _version_ | 1848759124697808896 |
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| author | Burns, Kelly Moosa, I. |
| author_facet | Burns, Kelly Moosa, I. |
| author_sort | Burns, Kelly |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | Structural breaks have been suggested by several economists as a possible explanation for the Meese–Rogoff puzzle, in the sense that an exchange rate model can outperform the random walk in terms of the out-of-sample forecasting error if the period under investigation is free of structural breaks. The results indicate that structural breaks cannot explain the inability of the flexible price monetary model to outperform the random walk. The only plausible explanation for the Meese–Rogoff puzzle is that forecasting accuracy is traditionally assessed by magnitude-only measures. When forecasting accuracy is assessed by alternative measures that do not rely exclusively on the magnitude of error, the monetary model can outperform the random walk regardless of the presence or otherwise of structural breaks. |
| first_indexed | 2025-11-14T09:54:54Z |
| format | Journal Article |
| id | curtin-20.500.11937-53358 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:54:54Z |
| publishDate | 2017 |
| publisher | Routledge |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-533582017-10-26T07:19:21Z Demystifying the Meese–Rogoff puzzle: structural breaks or measures of forecasting accuracy? Burns, Kelly Moosa, I. Structural breaks have been suggested by several economists as a possible explanation for the Meese–Rogoff puzzle, in the sense that an exchange rate model can outperform the random walk in terms of the out-of-sample forecasting error if the period under investigation is free of structural breaks. The results indicate that structural breaks cannot explain the inability of the flexible price monetary model to outperform the random walk. The only plausible explanation for the Meese–Rogoff puzzle is that forecasting accuracy is traditionally assessed by magnitude-only measures. When forecasting accuracy is assessed by alternative measures that do not rely exclusively on the magnitude of error, the monetary model can outperform the random walk regardless of the presence or otherwise of structural breaks. 2017 Journal Article http://hdl.handle.net/20.500.11937/53358 10.1080/00036846.2017.1296550 Routledge restricted |
| spellingShingle | Burns, Kelly Moosa, I. Demystifying the Meese–Rogoff puzzle: structural breaks or measures of forecasting accuracy? |
| title | Demystifying the Meese–Rogoff puzzle: structural breaks or measures of forecasting accuracy? |
| title_full | Demystifying the Meese–Rogoff puzzle: structural breaks or measures of forecasting accuracy? |
| title_fullStr | Demystifying the Meese–Rogoff puzzle: structural breaks or measures of forecasting accuracy? |
| title_full_unstemmed | Demystifying the Meese–Rogoff puzzle: structural breaks or measures of forecasting accuracy? |
| title_short | Demystifying the Meese–Rogoff puzzle: structural breaks or measures of forecasting accuracy? |
| title_sort | demystifying the meese–rogoff puzzle: structural breaks or measures of forecasting accuracy? |
| url | http://hdl.handle.net/20.500.11937/53358 |