Long - Horizon Exchange Rate Predictability?

Front Cover
International Monetary Fund, Jan 1, 1997 - Foreign exchange rates - 19 pages
Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction regressions. By considering the implied vector error-correction model, we show that little is to be gained from estimating such regressions for horizons greater than one time period. We also show that in small to medium samples the long-horizon procedure gives rise to spurious evidence of predictive power. a simulation study demonstrates that even when using this technique on two independent series, estimates, diagnostic statistics and graphical evidence incorrectly suggest a high degree of predictability of the dependent variable.

From inside the book

What people are saying - Write a review

We haven't found any reviews in the usual places.


Conclusion _ a _ _ _
LongHorizon Regression LS Estimates a _ _

Other editions - View all

Common terms and phrases

Bibliographic information