Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?

  • 研討會日期 : 2002-08-06
  • 時間 : 15:00
  • 主講人 : 張賢旺教授
  • 地點 : B棟110室
  • 演講者簡介 : 張炫旺教授為Ph.D.,University of Pennsylvania (1990)。 目前為Professor,University of California at Santa Cruz。 主要研究領域為實証國際金融。
  • 演講摘要 : Previous assessments of nominal exchange rate determination have focused upon a narrow set of models usually of the 1970's vintage. The canonical papers in this literature are Meese and Rogoff (1983, 1988), with succeeding papers by Mark (1995) and Chinn and Meese (1995). In this paper we re-assess exchange rate prediction using a ider set of models that have been proposed in the last decade: interest rate parity, productivity based models, and "behavioral equilibrium exchange rate" models. These will be compared against a benchmark model -- the Dornbusch-Frankel monetary model. The models are estimated in error correction and first-difference specifications. Rather than estimating the cointegrating vector over the entire sample and treating it as part of the ex ante information set as is commonly done in the literature, we recursively update the cointegrating vector, thereby generating true ex ante forecasts. We examine model performance at various forecast horizons (1 quarter, 1 year, 5 years) using differing metrics (mean squared error, direction of change), as well as the "consistency" test of Cheung and Chinn (1998). No model consistently outperforms a random walk, by a mean squared error measure; however, a over, one finds that these forecasts are cointegrated with the actua