Tests of the performance of reduced-form exchange rate models

Boughton, James M.

doi:10.1016/s0022-1996(87)80004-1

Cited by 54 publications

(23 citation statements)

References 11 publications

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“…Boughton (1987), Woo (1985), Finn (1986), Somanath (1986), and Schinasi and Swamy (1989) have replicated the work of Meese and Rogoff (1984) by improving upon and estimating different versions of the rational-expectations form of the flexible-price model that include a partial adjustment term in money demand. Their work contributes to the literature in that they all successfully identify models that at times perform better than a random walk.…”

Section: Literature Review and Background Researchmentioning

confidence: 81%

Predicting spot exchange rates in a nonlinear estimation framework using futures prices

Parhizgari

Boyrie

1997

J. Fut. Mark.

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Section: Literature Review and Background Researchmentioning

confidence: 81%

Predicting spot exchange rates in a nonlinear estimation framework using futures prices

Parhizgari

Boyrie

1997

J. Fut. Mark.

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“…However, most of those attempts have not achieved the desired results. Studies of Meese and Rogoff (1983), Frankel (1984), and Boughton (1987) suggest that no model is successful in explaining exchange rate fluctuations. This is particularly valid in regards to short term exchange rate movements.…”

Section: Introductionmentioning

confidence: 99%

On the relationship between exchange rates and equity returns: A new approach

Katechos

2011

Journal of International Financial Markets, Institutions and Mo

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“…Boughton (1986) examines the performance of portfolio balance models in an out-of-sample forecasting experiment and concludes that they perform better than the random walk in some cases.…”

Section: Discussionmentioning

confidence: 99%

Risk, Uncertainty and Exchange Rates

Hodrick¹

1987

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This paper explores a new direction for empirical models of exchange rate determination. The motivation arises from two well documented facts, the failure of log-linear empirical exchange rate models of the 1970's and the variability of risk premiums in the forward market. Rational maximizing models of economic behavior imply that changes in the conditional variances of exogenous processes, such as future monetary policies, future government spending, and future rates of income growth, can have a significant effect on risk premiums in the foreign exchange market and can induce conditional volatility of spot exchange rates. I examine theoretically how changes in these exogenous conditional variances affect the level of the current exchange rate, and I attempt to quantify the extent that this channel explains exchange rate volatility using autoregressive conditional heteroscedastic models.

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Tests of the performance of reduced-form exchange rate models

Cited by 54 publications

References 11 publications

Predicting spot exchange rates in a nonlinear estimation framework using futures prices

Predicting spot exchange rates in a nonlinear estimation framework using futures prices

On the relationship between exchange rates and equity returns: A new approach

Risk, Uncertainty and Exchange Rates

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