We examine a class of popular structural models of exchange rate determination and compare them to a random walk with and without drift. Given almost any set of conditioning variables, we find parametric specifications fail. Our findings are based on broad entropy functional of the whole...

In this paper, we use Google Trends data for exchange rate forecasting in the context of a broad literature review that ties the exchange rate movements with macroeconomic fundamentals. The sample covers 11 OECD countries' exchange rates for the period from January 2004 to June 2014. In...