Three alternative monetary models of exchange rate are tested using data on the Italian lira-US dollar exchange rate. It is shown that up to the early 1990s these economic models perform better than the random walk model in out-of-sample forecasts.
Lagana', G., Sgro, P. (2006). Monetary Models of Exchange Rates and The Random Walk, 5 (1-2), 96-113.
Monetary Models of Exchange Rates and The Random Walk
LAGANA', GIANLUCA;
2006-01-01
Abstract
Three alternative monetary models of exchange rate are tested using data on the Italian lira-US dollar exchange rate. It is shown that up to the early 1990s these economic models perform better than the random walk model in out-of-sample forecasts.File in questo prodotto:
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