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 to proxy macro fundamentals that are related to two conventional structural determination of exchange rate models: purchasing power parity model and the monetary exchange rate determination model. We assess forecasting performance of Google Trends based...