Exchange Rate Predictability in Finite Samples

IF 1.5 4区经济学 Q2 ECONOMICS

Japanese Economic Review Pub Date : 2016-06-06 DOI:10.1111/jere.12097

Hsiu-Hsin Ko

引用次数: 3

Abstract

The goal of the present study is to re-examine the exchange rate predictability with an approach that accounts for the negative effect of the finite-sample estimation error on forecast accuracy in the in-sample test. We consider various exchange rate models and find that despite the presence of significant population-level predictive content in the exchange rate model, the coefficients of the predictive variables could be small enough that, with the available sample, they are estimated so imprecisely that a random walk model can be expected to forecast at least as well as the exchange rate model.

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有限样本下的汇率可预测性

本研究的目的是用一种解释样本内检验中有限样本估计误差对预测精度的负面影响的方法来重新检验汇率的可预测性。我们考虑了各种汇率模型，并发现尽管在汇率模型中存在显著的人口水平预测内容，但预测变量的系数可能足够小，以至于在可用的样本中，它们的估计是如此不精确，以至于随机漫步模型可以预期至少与汇率模型一样预测。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Japanese Economic Review ECONOMICS-

CiteScore

2.70

自引率

0.00%

发文量

期刊介绍： Started in 1950 by a group of leading Japanese economists under the title The Economic Studies Quarterly, the journal became the official publication of the Japanese Economic Association in 1959. As its successor, The Japanese Economic Review has become the Japanese counterpart of The American Economic Review, publishing substantial economic analysis of the highest quality across the whole field of economics from researchers both within and outside Japan. It also welcomes innovative and thought-provoking contributions with strong relevance to real economic issues, whether political, theoretical or policy-oriented.