Lam, Lillie; Fung, Laurence; Yu, Ip-wing - Hong Kong Monetary Authority - 2008
Exchange-rate movement is regularly monitored by central banks for macroeconomic-analysis and market-surveillance purposes. Notwithstanding the pioneering study of Meese and Rogoff (1983), which shows the superiority of the random-walk model in out-of-sample exchange-rate forecast, there is some...