Out-of-sample forecasting performance of single equation monetary exchange rate models in Norwegian currency markets

Authors: Reinton H.; Ongena S.

Source: Applied Financial Economics, Volume 9, Number 6, 1 December 1999 , pp. 545-550(6)

Publisher: Routledge, part of the Taylor & Francis Group

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Abstract:

This study compares the out-of-sample forecasting performance of single-equation monetary exchange rate models against the random walk. We look at spot exchange rates of Norwegian Krone vis-a-vis four major currencies from June 1986 until October 1996. We find that an error correction model outperforms the random walk in out-of-sample forecasting exercises at six and twelve month horizons.

Language: English

Document Type: Research article

Publication date: 1999-12-01

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