Why is it difficult to beat the random walk forecast of exchange rates?

Journal of International Economics

Volumn 60, Issue 1, 2003, Pages 85-107

  Kilian, Lutz ^a,c,d   Taylor, Mark P ^b,c  

^a UNIVERSITY OF MICHIGAN   (United States)

^b UNIVERSITY OF WARWICK   (United Kingdom)

^c CEPR   (United Kingdom)

^d EUROPEAN CENTRAL BANK   (Germany)

Author keywords

Economic models of exchange rate determination; Long horizon regression tests; Purchasing power parity; Random walk; Real exchange rate

Indexed keywords

EXCHANGE RATE; FORECASTING METHOD; METHODOLOGY; RANDOM WALK METHOD; REGRESSION ANALYSIS;

EID: 0037403617     PISSN: 00221996     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0022-1996(02)00060-0     Document Type: Article

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