CAN THE MARKOV SWITCHING MODEL FORECAST EXCHANGE-RATES

被引：196

作者：

ENGEL, C

机构：

[1] NATL BUR ECON RES,CAMBRIDGE,MA 02138

[2] FED RES BANK,KANSAS CITY,KS

来源：

JOURNAL OF INTERNATIONAL ECONOMICS | 1994年 / 36卷 / 1-2期

关键词：

D O I：

10.1016/0022-1996(94)90062-0

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

A Markov-switching model is fit for 18 exchange rates at quarterly frequencies. The model fits well in-sample for many exchange rates. By the mean-squared-error criterion, the Markov model does not generate superior forecasts to a random walk or the forward rate. There appears to be some evidence that the forecasts of the Markov model are superior at predicting the direction of change of the exchange rate.

引用

页码：151 / 165

页数：15