Exchange Rate Predictability Fact or Fiction?
Jackson, K. and Magkonis, G. 2024. Exchange Rate Predictability Fact or Fiction? Journal of International Money and Finance. 142 103026. https://doi.org/10.1016/j.jimonfin.2024.103026
| Title | Exchange Rate Predictability Fact or Fiction? |
|---|---|
| Type | Journal article |
| Authors | Jackson, K. and Magkonis, G. |
| Abstract | The present study investigates the factors that affect the forecasting performance of several models that have been used for exchange rate prediction. We provide a quantitative survey collecting 8,413 reported forecast errors and we investigate which forecasting characteristics tend to improve forecasting ability. According to our evidence, predictions can beat random walk when certain types of models and econometric methods are used. In particular, linear specifications based on PPP outperform random walk. Furthermore, higher data frequency and longer forecasting horizon also improve forecasting performance. In this way, we identify under which conditions it is feasible to solve the `Meese-Rogoff' puzzle. |
| Keywords | Exchange rates |
| forecasting performance | |
| meta-analysis | |
| Article number | 103026 |
| Journal | Journal of International Money and Finance |
| Journal citation | 142 |
| ISSN | 0261-5606 |
| 1873-0639 | |
| Year | 2024 |
| Publisher | Elsevier |
| Publisher's version | License CC BY-NC-ND 4.0 File Access Level Open (open metadata and files) |
| Digital Object Identifier (DOI) | https://doi.org/10.1016/j.jimonfin.2024.103026 |
| Publication dates | |
| Published online | 19 Feb 2024 |
| Published in print | Apr 2024 |