MacDonald, R. and Marsh, I. W. (1997) On fundamentals and exchange rates: a Casselian perspective. Review of Economics and Statistics, 79(4), pp. 655-664. (doi: 10.1162/003465397557060)
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Abstract
Using an expanded version of the purchasing-power-parity condition we construct simultaneous equation models for three key exchange rates which incorporate meaningful long-run equilibrium relationships and complex short-run dynamics. We show that fully dynamic out-of-sample forecasts from these models are capable of significantly outperforming those of a random walk model over horizons as short as 3 months, and that they are also more accurate than the vast majority of professional forecasts.
| Item Type: | Articles |
|---|---|
| Status: | Published |
| Refereed: | Yes |
| Glasgow Author(s) Enlighten ID: | MacDonald, Professor Ronald |
| Authors: | MacDonald, R., and Marsh, I. W. |
| College/School: | College of Social Sciences > Adam Smith Business School > Economics |
| Journal Name: | Review of Economics and Statistics |
| Publisher: | MIT Press |
| ISSN: | 0034-6535 |
| ISSN (Online): | 1530-9142 |
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