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Original Articles

The monetary model of exchange rates is better than the random walk in out-of-sample forecasting

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Pages 1293-1297 | Published online: 25 Jun 2013

References

  • Bacchetta , P. and van Wincoop , E. 2006 . Can information heterogeneity explain the exchange rate determination puzzle? . American Economic Review , 96 : 552 – 76 .
  • Evans , M. D. and Lyons , R. K. 2004 . A new micro model of exchange rate dynamics, National Bureau of Economic Research . Working Paper No. , : 10379
  • Frankel , J. A. and Rose , A. K. 1995 . “ Empirical research on nominal exchange rates ” . In Handbook of International Economics Vol. 3 , Elsevier , , Amsterdam
  • Meese , R. and Rogoff , K. 1983 . Empirical exchange rate models of the seventies: do they fit out of sample? . Journal of International Economics , 14 : 3 – 24 .
  • Moosa , I. A. 2013a . Why is it so difficult to outperform the random walk in exchange rate forecasting? . Applied Economics , 45 : 3340 – 46 .
  • Moosa , I. A. 2013b . Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting, Working Paper No. 002/13, School of Economics , Finance and Marketing, RMIT .
  • Moosa , I. A. and Burns , K. 2012 . Can exchange rate forecasting models outperform the random walk? Magnitude, direction and profitability as criteria . Economia Internazionale , 65 : 473 – 90 .

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