publication . Research . Article . 2016

Exchange Rate Predictability and State-of-the-Art Models

Pinar Yesin;
Open Access English
  • Published: 01 Jan 2016
  • Publisher: Gerzensee: Swiss National Bank, Study Center Gerzensee
Abstract
This paper empirically evaluates the predictive performance of the International Monetary Fund's (IMF) exchange rate assessments with respect to future exchange rate movements. The assessments of real trade-weighted exchange rates were conducted from 2006 to 2011, and were based on three state-of-the-art exchange rate models with a medium-term focus which were developed by the IMF. The empirical analysis using 26 advanced and emerging market economy currencies reveals that the 'diagnosis' of undervalued or overvalued currencies based on these models has significant predictive power with respect to future exchange rate movements, with one model outperforming the ...
Subjects
free text keywords: C53, F31, F37, exchange rate models, exchange rate assessment, predictability, equilibrium exchange rates, ddc:330, Monetary economics, Interest rate parity, International monetary fund, Market expectations, Economics, Exchange-rate regime, Financial economics, Predictive power, Exchange rate, Emerging markets
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publication . Research . Article . 2016

Exchange Rate Predictability and State-of-the-Art Models

Pinar Yesin;