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Cover Art
Author Sarno, Lucio.

Title Nonlinear Exchange Rate Models [electronic resource] : A Selective Overview / Lucio Sarno.

Published Washington, D.C. : International Monetary Fund, 2003.


Location Call No. Status
Physical description 1 online resource (39 p.)
Series IMF Working Papers; Working Paper ; No. 03/111
IMF Working Papers; Working Paper ; No. 03/111
Summary This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange rates help resolve the "purchasing power parity (PPP) puzzles." The second question is whether recently developed nonlinear, regime-switching vector equilibrium correction models of the nominal exchange rate can beat a random walk model, the standard benchmark in the exchange rate literature, in terms of out-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear) exchange rate models are discussed with reference to different forecast accuracy criteria.
Notes Description based on print version record.
Other author Sarno, Lucio.
Subject Exchange Rate
Exchange Rates
Random Walk
Real Exchange Rate
ISBN 1451853491 : 15.00 USD
ISSN 1018-5941
Standard Number 10.5089/9781451853490.001