Empirical exchange rate models of the seventies Do they fit out of sample? Export

@article{citeulike:205321, abstract = {This study compares the out-of-sample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and trade-weighted dollar exchange rates. The candidate structural models include the flexible-price (Frenkel-Bilson) and sticky-price (Dornbusch-Frankel) monetary models, and a sticky-price model which incorporates the current account (Hooper-Morton). The structural models perform poorly despite the fact that we base their forecasts on actual realized values of future explanatory variables.}, author = {Meese, R.}, citeulike-article-id = {205321}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/0022-1996(83)90017-X}, citeulike-linkout-1 = {http://linkinghub.elsevier.com/retrieve/pii/0022-1996(83)90017-X}, citeulike-linkout-2 = {http://www.sciencedirect.com/science/article/B6V6D-4C7WMM0-1/2/1bc9396dc1a0a10c57db6579e216e26f}, doi = {10.1016/0022-1996(83)90017-X}, issn = {00221996}, journal = {Journal of International Economics}, keywords = {fx}, month = {February}, number = {1-2}, pages = {3--24}, posted-at = {2009-06-18 07:38:08}, priority = {2}, title = {Empirical exchange rate models of the seventies Do they fit out of sample?}, url = {http://dx.doi.org/10.1016/0022-1996(83)90017-X}, volume = {14}, year = {1983} }

TY - JOUR ID - citeulike:205321 L3 - citeulike-article-id:205321 N2 - This study compares the out-of-sample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and trade-weighted dollar exchange rates. The candidate structural models include the flexible-price (Frenkel-Bilson) and sticky-price (Dornbusch-Frankel) monetary models, and a sticky-price model which incorporates the current account (Hooper-Morton). The structural models perform poorly despite the fact that we base their forecasts on actual realized values of future explanatory variables. IS - 1-2 JF - Journal of International Economics SN - 00221996 EP - 24 TI - Empirical exchange rate models of the seventies Do they fit out of sample? VL - 14 SP - 3 KW - fx AU - Meese, R PY - 1983/02// UR - http://dx.doi.org/10.1016/0022-1996(83)90017-X ER -