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    Demystifying the Meese-Rogoff Puzzle

    Access Status
    Fulltext not available
    Authors
    Moosa, I.
    Burns, Kelly
    Date
    2015
    Type
    Book
    
    Metadata
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    Citation
    Moosa, I. and Burns, K. 2015. Demystifying the Meese-Rogoff Puzzle. Basingstoke: Palgrave Macmillan.
    ISBN
    9781137452474
    School
    Curtin Graduate School of Business
    URI
    http://hdl.handle.net/20.500.11937/34898
    Collection
    • Curtin Research Publications
    Abstract

    For the past 30 years international monetary economists have believed that exchange rate models cannot outperform the random walk in out-of-sample forecasting as a result of the 1983 paper written by Richard Meese and Kenneth Rogoff. Marking the culmination of their extensive research into the Meese-Rogoff puzzle, Moosa and Burns challenge the orthodoxy by demonstrating that the naïve random walk model can be outperformed by exchange rate models when forecasting accuracy is measured by metrics that do not rely exclusively on the magnitude of forecasting error. The authors present compelling evidence, supported by their own measure: the 'adjusted root mean square error', to finally solve the Meese-Rogoff puzzle and provide a new alternative. Demystifying the Meese-Rogoff Puzzle will appeal to academics with an interest in exchange rate economics and international monetary economics. It will also be a useful resource for central banks and financial institutions.

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    • The Meese-Rogoff Puzzle: What Puzzle?
      Moosa, I.; Burns, Kelly (2015)
      The Messe-Rogoff puzzle has been a debatable topic since 1983 when Richard Meese and Kenneth Rogoff demonstrated that no exchange rate model can outperform the random walk in out-of-sample forecasting. This finding been ...
    • A Reconsideration of the Meese-Rogoff Puzzle – Alternative Approaches to Model Estimation and Forecast Evaluation
      Burns, Kelly (2016)
      This study revisits the Meese-Rogoff puzzle by estimating the traditional monetary models of exchange rate determination in state-space form and comparing the accuracy of these forecasts against the naïve random walk model ...
    • A reappraisal of the Meese–Rogoff puzzle
      Moosa, I.; Burns, Kelly (2014)
      Several explanations have been put forward for the Meese–Rogoff puzzle that exchange rate models cannot outperform the random walk in out-of-sample forecasting. We suggest that a simple explanation for the puzzle is the ...
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