Evaluation of exchange rate forecasts for the krona’s nominal effective exchange rate

In this paper we evaluate the out of sample forecasting performance of a large number of models belonging to a popular class of exchange rate models. Forecasts of the Swedish nominal effective exchange rate for the period 1980-2000 are performed using both single equation estimation and VAR approaches. The forecast horizons used were from 1 to 12 quarters. None of the models evaluated could convincingly outperform a random walk alternative.

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Year of publication:	2001-12-01
Authors:	Degrér, Henrik ; Hansen, Jan ; Sellin, Peter
Institutions:	Sveriges Riksbank
Subject:	Exchange rates \| monetary approach \| forecasting

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Extent:	application/pdf
Series:	Working Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Working Paper Series Number 133 51 pages
Classification:	F31 - Foreign Exchange ; F41 - Open Economy Macroeconomics ; F47 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005190814