01911cas a2200241 a 4500 AALejournalIMF010717 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451843934 1018-5941 BD-DhAAL BD-DhAAL Meredith, Guy. Medium-Term Exchange Rate Forecasting : What Can We Expect? / Guy Meredith. Washington, D.C. : International Monetary Fund, 2003. 1 online resource (31 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 The medium-term predictability of exchange rate movements is examined using three models of fundamentals: purchasing power parity, the monetary model, and uncovered interest parity. While the first two approaches yield favorable in-sample results, these largely reflect finite-sample estimation biases. Adjusting for these biases, there is little evidence of predictability, consistent with the lack of systematic improvement in out-of-sample forecasting performance relative to a random walk. Uncovered interest parity fares better at long horizons, but reflects information already embodied in market prices; in this sense, it may not be useful as an indicator of exchange rate misalignment. While more elaborate models of fundamentals might have better medium-term forecasting properties, careful attention must be paid to finite-sample biases in assessing predictability. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2003/021 Full text available on IMF http://elibrary.imf.org/view/journals/001/2003/021/001.2003.issue-021-en.xml IMF e-Library