{
  "title": "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?",
  "publication": "IMF Working Papers, April 1, 2004",
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  "summary": "We reassess exchange rate prediction using a wider set of models that have been proposed in the last decade. The performance of these models is compared against two reference specifications-purchasing power parity and the sticky-price monetary model.",
  "sections": [
    {
      "heading": "Summary",
      "content": "- Reassessment of exchange rate prediction using a wider set of models proposed in the last decade.\n- Performance compared against two reference specifications: purchasing power parity and the sticky-price monetary model.\n- Models estimated in first-difference and error-correction specifications.\n- Forecast horizons evaluated: 1, 4, and 20 quarters.\n- Evaluation metrics: mean squared error, direction of change metrics, and the \"consistency\" test of Cheung and Chinn (1998).\n- Overall conclusion: model/specification/currency combinations that work well in one period do not necessarily work well in another period."
    },
    {
      "heading": "Methodology",
      "content": "- Models examined include a wide set of proposals from the literature of the previous decade (1990s).\n- Reference specifications used for benchmarking:\n  - Purchasing power parity.\n  - Sticky-price monetary model.\n- Estimation approaches:\n  - First-difference specification.\n  - Error-correction specification.\n- Forecast horizons:\n  - 1 quarter.\n  - 4 quarters.\n  - 20 quarters.\n- Performance metrics:\n  - Mean squared error (MSE).\n  - Direction of change metrics.\n  - \"Consistency\" test of Cheung and Chinn (1998)."
    },
    {
      "heading": "Key Findings",
      "content": "- No single model/specification/currency combination consistently outperforms others across periods.\n- Performance is period-dependent: methods that perform well in one period may fail in another.\n- Evaluation across multiple horizons and metrics necessary to assess robustness of exchange rate models.\n\n---\n\n Content in this bundle\n\n- Wp0473\n  - Wp0473 (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n  - Wp0473 (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/empirical-exchange-rate-models-of-the-nineties-are-any-fit-to-survive-17145"
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    "Authors: Yin-Wong Cheung, Menzie David Chinn",
    "Published: April 1, 2004",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451849493.001",
    "Reassessment of exchange rate prediction using a wider set of models proposed in the last decade.",
    "Performance compared against two reference specifications: purchasing power parity and the sticky-price monetary model.",
    "Models estimated in first-difference and error-correction specifications.",
    "Forecast horizons evaluated: 1, 4, and 20 quarters.",
    "Evaluation metrics: mean squared error, direction of change metrics, and the \"consistency\" test of Cheung and Chinn (1998).",
    "Overall conclusion: model/specification/currency combinations that work well in one period do not necessarily work well in another period.",
    "Models examined include a wide set of proposals from the literature of the previous decade (1990s).",
    "Reference specifications used for benchmarking:",
    "Estimation approaches:",
    "Forecast horizons:",
    "Performance metrics:",
    "No single model/specification/currency combination consistently outperforms others across periods.",
    "Performance is period-dependent: methods that perform well in one period may fail in another.",
    "Evaluation across multiple horizons and metrics necessary to assess robustness of exchange rate models.",
    "**Wp0473**"
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