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A0738
Title: Evaluating exchange rate forecasts along time and frequency Authors:  Petre Caraiani - Bucharest University of Economic Studies (Romania) [presenting]
Abstract: A key puzzle in international macroeconomics is the proposition that no model can beat the random walk in predicting the exchange rate. Nevertheless, recent models are able to outperform the random walk for certain specifications and horizons. The aim is to contribute to this literature by performing an evaluation of exchange rate forecasts of reference models relative to the exchange rate in time and frequency. While the literature has usually addressed the performance of exchange rate models relative to the random walk in time only, whether this relative performance is uniform along different frequencies, or whether it is driven by certain frequencies, is studied.