書誌事項
- 公開日
- 2017-02
- 権利情報
-
- https://www.cambridge.org/core/terms
- DOI
-
- 10.1017/s0022109017000011
- 公開者
- Cambridge University Press (CUP)
この論文をさがす
説明
<jats:p>Exchange rate models with uncertain and incomplete information predict that investors focus on a small set of fundamentals that changes frequently over time. We design a model selection rule that captures the current set of fundamentals that best predicts the exchange rate. Out-of-sample tests show that the forecasts made by this rule significantly beat a random walk for 5 out of 10 currencies. Furthermore, the currency forecasts generate meaningful investment profits. We demonstrate that the strong performance of the model selection rule is driven by time-varying weights attached to a small set of fundamentals, in line with theory.</jats:p>
収録刊行物
-
- Journal of Financial and Quantitative Analysis
-
Journal of Financial and Quantitative Analysis 52 (1), 341-363, 2017-02
Cambridge University Press (CUP)