【International Trade Seminar】An In-Sample Evaluation of Exchange Rate Models: In Search of Scapegoats
2025/11/27
研討會日期 : 2025-11-27
時間 : 14:30
主講人 : Professor Yin-Wong Cheung (張賢旺)
地點 : Conference Room C103
主持人 : Professor Kamhon Kan
演講者簡介 : Professor Yin-Wong Cheung received his Ph.D. in Economics from the University of Pennsylvania in 1990. He is currently a Professor Emeritus at the University of California, Santa Cruz. His research interests are Econometrics, Applied Econometrics, Exchange Rate Dynamics, Financial Price Behavior, Output Fluctuation, and Issues in Asian Economies.
演講摘要 : We employ a modified dynamic model averaging framework which permits inferences about the shifting relevance and significance of explanatory variables to assess in-sample performance of exchange-rate models and empirical validity of purchasing-power-parity (PPP). The analysis is based on 16,384 empirical specifications constructed from 14 canonical and newly introduced explanatory variables for six US dollar exchange rates. Our findings indicate the best performing empirical exchange rate specification is unstable and changes frequently; individual explanatory variables display large time- and cross-currency variation in relevance and effects; and the combination of explanatory variables that enhances the empirical evidence of PPP differs by exchange rates. These findings underscore the challenge in applying a single exchange-rate model or the scapegoat hypothesis to explain all exchange rates in all historical periods.
