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Working Paper
Distributed lag order determination
Working Paper
Was it real? : the exchange rate-interest differential relation, 1973 - 1984
The main result of Meese and Rogoff [1983 a,b] is that small structural exchange rate models forecast major dollar exchange rates no better than a naive random walk model. This result obtains even when the model forecasts are based on actual realized values of the explanatory variables. Here we improve our methodology by implementing a new test of out-of-sample fit; the test is valid even for overlapping long-horizon forecasts. We find that the dollar exchange rate models perform somewhat less badly over the recent Reagan regime period than over the episodes studied previously. The ...
Conference Paper
Exchange rate instability: determinants and predictability
Working Paper
Exchange rate instability: determinants and predictability
The paper is concerned with exchange rate instability, by which we mean large changes in exchange rates. The paper has two objectives. First, we search for plausible determinants of currency crashes. To do this we examine annual panel data for a large sample of developing countries. The work is non-structural, taking the form of probit regressions which link currency crashes to a variety of candidate causes. We examine a comprehensive set of both foreign and domestic explanatory variables. The list includes: foreign conditions; the vulnerability of the country to a crash; the level of ...
Conference Paper
Empirical assessment of foreign currency risk premiums