Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals

@inproceedings{Molodtsova2009OutofSampleER,
  title={Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals},
  author={Tanya Molodtsova and David H. Papell},
  year={2009}
}
An extensive literature that studied out-of-sample performance of empirical exchange rate models following Meese and Rogoff’s (1983a) seminal paper has not yet convincingly overturned their result of no out-ofsample predictability of exchange rates. The recent empirical research by Cheung, Chinn and Pascual (2005) concludes that none of the standard models of exchange rate determination consistently outperforms the random walk model at any horizon. This paper re-evaluates the short and long… CONTINUE READING
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