Cheung, Yin-Wong; Chinn, Menzie D.; Garcia-Pascual, Antonio - Hong Kong Institute for Monetary Research (HKIMR), … - 2005
We re-assess exchange rate prediction using a wider set of models that have been proposed in the last decade: interest rate parity, productivity based models, and a composite specification. The performance of these models is compared against two reference specifications - purchasing power parity...