The level of the (log of) the exchange rate seems to have strong forecasting power for dollar exchange rates against major currencies post-2000 at medium- to long-run horizons of 12-, 36- and 60-months. We find that this is true using conventional asymptotic statistics correcting for serial...

We find that the level of the exchange rate appears to have strong forecasting power for dollar exchange rates against major currencies post-2000 at medium and long horizons in-sample and out-of-sample, using conventional asymptotic statistics correcting for serial correlation biases and...