Predictability of Exchange Rate Models:
Statistical and Economic Evaluation Approach

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Predictability of Exchange Rate Models: Statistical and Economic Evaluation Approach

This paper seeks to compare the exchange rate predictability of economic fundamental models, including the Uncovered Interest Parity, the Purchasing Power Parity, the Monetary Fundamentals, the Symmetric and Asymmetric Taylor Rules with the benchmark Random walk with drift. Using out-of-sample regre...

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Bibliographic Details
Main Author:	Nguyen, Thi Phuong Anh
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2018
Subjects:	Exchange rate Out-of-sample Random walk Time series Statistical evaluation Economic value.
Online Access:	https://eprints.nottingham.ac.uk/54645/

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