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Demystifying the Meese-Rogoff Puzzle

  • Imad A. Moosa
  • Kelly Burns

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Imad A. Moosa, Kelly Burns
    Pages 1-13
  3. Imad A. Moosa, Kelly Burns
    Pages 14-31
  4. Imad A. Moosa, Kelly Burns
    Pages 32-43
  5. Imad A. Moosa, Kelly Burns
    Pages 44-62
  6. Imad A. Moosa, Kelly Burns
    Pages 63-72
  7. Imad A. Moosa, Kelly Burns
    Pages 73-88
  8. Imad A. Moosa, Kelly Burns
    Pages 89-97
  9. Imad A. Moosa, Kelly Burns
    Pages 98-104
  10. Imad A. Moosa, Kelly Burns
    Pages 105-115
  11. Imad A. Moosa, Kelly Burns
    Pages 116-125
  12. Imad A. Moosa, Kelly Burns
    Pages 126-136
  13. Back Matter
    Pages 137-150

About this book

Introduction

For the past 30 years international monetary economists have believed that exchange rate models cannot outperform the random walk in out-of-sample forecasting as a result of the 1983 paper written by Richard Meese and Kenneth Rogoff. Marking the culmination of their extensive research into the Meese-Rogoff puzzle, Moosa and Burns challenge the orthodoxy by demonstrating that the naïve random walk model can be outperformed by exchange rate models when forecasting accuracy is measured by metrics that do not rely exclusively on the magnitude of forecasting error. The authors present compelling evidence, supported by their own measure: the 'adjusted root mean square error', to finally solve the Meese-Rogoff puzzle and provide a new alternative. Demystifying the Meese-Rogoff Puzzle will appeal to academics with an interest in exchange rate economics and international monetary economics. It will also be a useful resource for central banks and financial institutions.

Keywords

boundary element method earthquake prediction equation expectation forecasting methodology model modeling present survey

Authors and affiliations

  • Imad A. Moosa
    • 1
  • Kelly Burns
    • 2
  1. 1.Monash UniversityAustralia
  2. 2.Curtin UniversityAustralia

Bibliographic information

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Finance, Business & Banking