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...

Previous assessments of forecasting performance of exchange rate models have focused upon a narrow set of models typically of the 1970’s vintage. The canonical papers in this literature are by Meese and Rogoff (1983, 1988), who examined monetary and portfolio balance models. Succeeding...

Previous assessments of forecasting performance of exchange rate models have focused upon a narrow set of models typically of the 1970’s vintage. The canonical papers in this literature are by Meese and Rogoff (1983, 1988), who examined monetary and portfolio balance models. Succeeding...

Previous assessments of forecasting performance of exchange rate models have focused upon a narrow set of models typically of the 1970’s vintage. The canonical papers in this literature are by Meese and Rogoff (1983, 1988), who examined monetary and portfolio balance models. Succeeding...

This five-chapter introduction into international money and foreign exchange markets covers all the basics, theoretical, institutional, as well as empirical. After a brief review of the money market, we discuss the size and structure of the foreign exchange markets. This information is then used...

The long-run foreign transmission effects are analyzed in a multivariate time-series model of Danish and German prices, exchange rates and interest rates. The analysis of the likelihood function reveals that the vector process is I(2), but that a linear transformation of the prices and the...

Inflation has proven to be an important obstacle to successful economic adjustment in many countries. Despite both internal and external shocks to the economy, Mozambique has succeeded in controlling the inflation to gain high economic growth. This paper provides an econometric analysis of the...