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Sveriges Riksbank (Central Bank of Sweden) Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)

No 133:
Evaluation of exchange rate forecasts for the krona’s nominal effective exchange rate

Henrik Degrér (), 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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