Hidden Bibliographic Details
| Other authors / contributors: | IMF Institute.
International Monetary Fund.
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| ISBN: | 1451898975
9781451898972
1462333788
9781462333783
1451995504
9781451995503
1282108689
9781282108684
9786613802033
6613802034
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| Notes: | Includes bibliographical references (pages 31-38).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
English.
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| 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
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| Other form: | Print version: Sarno, Lucio. Nonlinear exchange rate models. [Washington, D.C.] : International Monetary Fund, ©2003
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| Standard no.: | 10.5089/9781451898972.001
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