Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model
(2022)
Journal Article
Aristidou, C., Lee, K., & Shields, K. (2022). Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model. Journal of International Money and Finance, 123, Article 102601. https://doi.org/10.1016/j.jimonfin.2022.102601
A ‘meta’ model of the exchange rate combines a range of models distinguished by the drivers of the rate and by regime duration. Alternative model weights are proposed, including those obtained from a novel non-nested hypothesis-testing technique that... Read More about Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model.