01821cas a2200265 a 4500 AALejournalIMF002853 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451849493 1018-5941 BD-DhAAL BD-DhAAL Cheung, Yin-Wong. Empirical Exchange Rate Models of the Nineties : Are Any Fit to Survive? / Yin-Wong Cheung, Antonio Garcia Pascual, Menzie Chinn. Washington, D.C. : International Monetary Fund, 2004. 1 online resource (37 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students We reassess exchange rate prediction using a wider set of models that have been proposed in the last decade. The performance of these models is compared against two reference specifications-purchasing power parity and the sticky-price monetary model. The models are estimated in first-difference and error-correction specifications, and model performance is evaluated at forecast horizons of 1, 4, and 20 quarters, using the mean squared error, direction of change metrics, and the "consistency" test of Cheung and Chinn (1998). Overall, model/specification/currency combinations that work well in one period do not necessarily work well in another period. Mode of access: Internet Chinn, Menzie. Garcia Pascual, Antonio. IMF Working Papers; Working Paper ; No. 2004/073 Full text available on IMF http://elibrary.imf.org/view/journals/001/2004/073/001.2004.issue-073-en.xml IMF e-Library