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Basic Methodology, Data and Results

In: Demystifying the Meese-Rogoff Puzzle

Author

Listed:
  • Imad A. Moosa

    (Monash University)

  • Kelly Burns

    (Curtin University)

Abstract

Three models are used to generate forecasts for six exchange rates: the Frenkel-Bilson flexible-price monetary model, the Dornbusch-Frankel sticky-price monetary model and the Hooper-Morton monetary model with current account effects. The basic methodology resembles that used by Meese and Rogoff. The models are estimated over part of the sample period, and then forecasts are generated out of sample by using recursive estimation. For the basic results, the root mean square error is used as a measure of forecasting accuracy. As a benchmark, the choice between the random walk with and without drift depends on the statistical significance of the drift term.

Suggested Citation

  • Imad A. Moosa & Kelly Burns, 2015. "Basic Methodology, Data and Results," Palgrave Macmillan Books, in: Demystifying the Meese-Rogoff Puzzle, chapter 3, pages 32-43, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-1-137-45248-1_3
    DOI: 10.1057/9781137452481_3
    as

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