Empirical exchange rate models of the nineties: Are any fit to survive?

We re-assess exchange rate prediction using a wider set of models that have been proposed in the last decade: interest rate parity, productivity based models, and a composite specification. The performance of these models is compared against two reference specifications – purchasing power parity and...

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Bibliographic details
Volume:	24
Main Author:	Cheung, Yin-Wong Chinn, Menzie D Pascual, Antonio Garcia
Format:	Journal Article
Language:	English
Zielgruppe:	Professional Academic
Place of publication:	OXFORD Elsevier Ltd 2005 ELSEVIER SCI LTD Elsevier Elsevier B.V
published in:	Journal of international money and finance Vol. 24; no. 7; pp. 1150 - 1175
Data of publication:	2005
ISSN:	0261-5606 1873-0639
EISSN:	1873-0639
Discipline:	Business
Series:	Journal of International Money and Finance
Subjects:	Productivity Forecasting performance Exchange rates Interest rate parity Purchasing power parity Monetary model Business & Economics Business, Finance Social Sciences Prices and rates Monetary policy Analysis Foreign exchange Interest rates Forecasts and trends Industrial productivity Productivity Exchange rates F31 Monetary model F47 Forecasting performance Interest rate parity Purchasing power parity MONEY FUNDAMENTALS PRICES FORECAST purchasing power parity interest rate parity productivity COINTEGRATION forecasting performance exchange rates DOLLAR monetary model FOREIGN-ASSETS
Online Access:	available in Bonn?
Database:	Social Sciences Citation Index Web of Science - Social Sciences Citation Index - 2005 Web of Knowledge Web of Science RePEc RePEc IDEAS CrossRef Academic OneFile (A&I only) Database information Databases - DBIS