Testing Long-Horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle
Testing Long-Horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle
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测试具有高持久性的长期预测能力以及 Meese-Rogoff 难题
DOI：
10.1111/j.0020-6598.2005.00310.x
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发表时间：
2005
期刊：
影响因子：
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通讯作者：
B. Rossi
中科院分区：
文献类型：
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作者：
B. Rossi
国际金融中一个众所周知的难题是，随机游走比经济模型更能预测汇率。我提供了一个可能的解释。当汇率和基本面高度持续时，经济模型的长期预测会因估计误差而产生偏差。当这种偏差很大时，即使经济模型是正确的，随机游走也会预测得更好。我提出了一个测试的平等的可预测性存在高持久性。这表明，经济模型的预测能力差，并不意味着该模型不能很好地描述数据。
A well-known puzzle in international finance is that a random walk predicts exchange rates better than economic models. I offer a potential explanation. When exchange rates and fundamentals are highly persistent, long-horizon forecasts of economic models are biased by the estimation error. When this bias is big, a random walk will forecast better, even if the economic model is true. I propose a test for equal predictability in the presence of high persistence. It shows that the poor forecasting ability of economic models does not imply that the models are not good descriptions of the data.