演講摘要 : This paper investigates the Meese-Rogoff puzzle using a non-linear exponential smooth transition autoregressive (ESTAR) model and the PPP fundamental. The major characteristic of our ESTAR model is the allowance for the Harrod-Balassa-Samuelson effect on the equilibrium real exchange rate. Our model is supported empirically over the post-Bretton Woods period. We also reassess the predictability of nominal exchange rates using a bootstrap procedure and provide strong out-of-sample evidence to reject the random walk forecast model at long and medium-term forecast horizons. Finally, we show that our bootstrap tests have correct size and good power. Our out-of-sample evidence sheds new light on understanding the Meese-Rogoff puzzle.
