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Why is it so difficult to beat the Random Walk Forecast of Exchange Rates?

Опубликовано на портале: 25-10-2004
Tinbergen Institute Discussion Papers. 2001.  P. TI 2001-031/4. 
We propose a stylized exchange rate model based on diversity and weight of opinion. Our model departs from standard assumptions in that we allow for heterogeneous agents. We show that such a model can explain both the observed volatility and the persistence of real and nominal exchange rate movements and thus in some measure resolves Rogoffs (1996) purchasing power parity puzzle. Our empirical analysis reconciles the well-known difficulties in beating the random walk forecast model with the statistical evidence of nonlinear mean reversion in deviations from fundamentals.

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