Cointegration, error correction and exchange rate forecasting
Journal of International Financial Markets, Institutions and Money(2016)
摘要
•An extensive sample of 78 currency pairs is used across 12 countries.•We investigate the Meese–Rogoff puzzle; the failure to beat a random walk in forecasting.•We test if allowing for cointegration enables exchange rate models to beat a random walk.•Error correction models are an empirical issue due to similar dynamics to first difference models.
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关键词
Exchange rate,Cointegration,Forecasting,Dynamic models
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