TY  - JOUR
AU  - Rogoff,Kenneth S.
AU  - Stavrakeva,Vania
TI  - The Continuing Puzzle of Short Horizon Exchange Rate Forecasting
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 14071
PY  - 2008
Y2  - June 2008
UR  - http://www.nber.org/papers/w14071
L1  - http://www.nber.org/papers/w14071.pdf
N1  - Author contact info:
Kenneth S. Rogoff
Thomas D Cabot Professor of Public Policy
Economics Department
Harvard University
Littauer Center 232
Cambridge, MA 02138-3001
Tel: 617-495-4022
Fax: 617/495-7730
E-Mail: krogoff@harvard.edu

Vania Stavrakeva
The Brookings Institution
1775 Massachusetts Avenue, N.W.
Washington, DC 20036
E-Mail: vania.stavrakeva@gmail.com
AB  - Are structural models getting closer to being able to forecast exchange rates at short horizons? Here we argue that misinterpretation of some new out-of-sample tests for nested models, over-reliance on asymptotic test statistics, and failure to sufficiently check robustness to alternative time windows have led many studies to overstate even the relatively thin positive results that have been found. We find that by allowing for common cross-country shocks in our panel forecasting specification, we are able to generate some improvement, but even that improvement is not entirely robust to the forecast window, and much of the gain appears to come from non-structural rather than structural factors.
ER  -