Alquist, Ron (contributor); Chinn, Menzie David (contributor) - 2006
that uncovered interest parity outperforms a random walk at long
horizons and that the measure of external imbalance does … fundamentals for exchange rates are
highly persistent processes and the discount factor follows very closely a random walk.
We do …. Section 6 concludes.
2. The Models and Some Evidence
We use the random walk model as our benchmark model, in line with …