IDEAS home Printed from https://ideas.repec.org/a/cje/issued/v31y1998i4p852-864.html
   My bibliography  Save this article

Exchange Rate Forecasts at Long Horizons: Are Error-Correction Models Superior?

Author

Listed:
  • Michael F. Bleaney

Abstract

The out-of-sample forecasting performance of error-correction models of exchange rates is tested on recent monthly data and on annual data from 1900 to 1995. The results for the monthly data set strongly favor the naive model, even when the series are pooled. In the annual data, the best model is usually a regression model of some form, but there is no evidence that a researcher can pick a regression model that outpredicts a naive model more often than not, either by choosing at random or by selecting the model that best fits past data.

Suggested Citation

  • Michael F. Bleaney, 1998. "Exchange Rate Forecasts at Long Horizons: Are Error-Correction Models Superior?," Canadian Journal of Economics, Canadian Economics Association, vol. 31(4), pages 852-864, November.
    • Handle: RePEc:cje:issued:v:31:y:1998:i:4:p:852-864
    as

    Download full text from publisher

    File URL: https://links.jstor.org/sici?sici=0008-4085%28199810%2931%3A4%3C852%3AERFALH%3E2.0.CO%3B2-L
    Download Restriction: only available to JSTOR subscribers
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Iqbal, Javed, 2001. "Forecasting methods: a comparative analysis," MPRA Paper 23856, University Library of Munich, Germany, revised 2001.
    2. John Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Staff Working Papers 07-1, Bank of Canada.

    More about this item

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cje:issued:v:31:y:1998:i:4:p:852-864. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Prof. Werner Antweiler (email available below). General contact details of provider: https://edirc.repec.org/data/ceaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.