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A Selective Survey of Subsequent Studies

In: Demystifying the Meese-Rogoff Puzzle

Author

Listed:
  • Imad A. Moosa

    (Monash University)

  • Kelly Burns

    (Curtin University)

Abstract

The literature on the Meese-Rogoff puzzle deals with attempts to resolve the puzzle and overturn the Meese and Rogoff results. While various studies show that the results cannot be overturned, some economists have claimed victory over the random walk, but most of these claims are groundless. A conclusion like this is reached either without appropriate statistical testing to find out if the difference in the root mean square errors is statistically significant or through the use of dynamic models, which amounts to beating the random walk with a random walk. The literature also deals with various issues such as the effect of the forecasting horizon and whether the appropriate benchmark should be the random walk with or without drift.

Suggested Citation

  • Imad A. Moosa & Kelly Burns, 2015. "A Selective Survey of Subsequent Studies," Palgrave Macmillan Books, in: Demystifying the Meese-Rogoff Puzzle, chapter 2, pages 14-31, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-45248-1_2
    DOI: 10.1057/9781137452481_2
    as

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