Abstract
The purpose of this research is to analyze the forecasting accuracy of full vector autoregressive (FVAR), mixed vector autoregressive (MVAR), and Bayesian vector autoregressive (BVAR) models of the US dollar/yen, US dollar/Canadian dollar, and US dollar/Deutsche mark exchange rates. The VAR specifications are based on a monetary/asset model of exchange rate determination. Out-of-sample results (1983:1-1989:12) indicate that the forecasting performance of restricted VARs (MVARs and BVARs) is substantially better than that of unrestricted VARs (FVARs). Overall, the results show that a monetary/asset model in a VAR representation does have forecasting value for some exchange rates.
Original language | English (US) |
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Pages (from-to) | 419-433 |
Number of pages | 15 |
Journal | International Journal of Forecasting |
Volume | 10 |
Issue number | 3 |
DOIs | |
State | Published - Nov 1994 |
Externally published | Yes |
Keywords
- Exchange rates
- Forecasting
- Vector autoregression
ASJC Scopus subject areas
- Business and International Management