Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
Evaluation of exchange rate forecasts for the krona’s nominal effective exchange rate
(), Jan Hansen
() and Peter Sellin
Abstract: In this paper we evaluate the out of sample forecasting
performance of a large number of models belonging to a popular class of
exchange rate models. Forecasts of the Swedish nominal effective exchange
rate for the period 1980-2000 are performed using both single equation
estimation and VAR approaches. The forecast horizons used were from 1 to 12
quarters. None of the models evaluated could convincingly outperform a
random walk alternative.
Keywords: Exchange rates; monetary approach; forecasting; (follow links to similar papers)
JEL-Codes: F31; F41; F47; (follow links to similar papers)
51 pages, December 1, 2001
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