Short-term exchange rate predictability

被引：8
作者：
Ren, Yu [1 ]
Wang, Qin [3 ]
Zhang, Xiangyu [2 ]
机构：
[1] Zhongnan Univ Econ & Law, Wenlan Sch Business, Wuhan 430073, Hubei, Peoples R China
[2] Simon Fraser Univ, Dept Econ, Burnaby, BC, Canada
[3] Zhongnan Univ Econ & Law, Sch Finance, Wuhan 430073, Hubei, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2019年 / 28卷
基金：
中国国家自然科学基金;
关键词：
Monetary model; Exchange rate; Out-of-sample prediction; Panel data; RATE MODELS; FIT;
D O I：
10.1016/j.frl.2018.04.009
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we revisit the monetary model in growth rates in explaining exchange rates. Different with the literature, we consider the cross-sectional dependence when using the panel data to predict exchange rates. By using quarterly and monthly data in 30 countries, we find that the monetary model in growth rates can outperform random walk with and without drift in the prediction.
引用
收藏
页码：148 / 152
页数：5
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