August 2013
Beginner to intermediate
672 pages
22h 30m
English
Content preview from Handbook of Economic Forecasting
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Chapter 13
Forecasting Exchange Rates: an Investor Perspective
Michael Melvin, John Prins and Duncan Shand, BlackRock
Abstract
The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated by the well-cited Meese and Rogoff (1983) paper. Practitioners who construct quantitative models for trading exchange rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates, as in the Meese–Rogoff case, we present what is required for constructing a successful trading model. To provide more perspective, a particular approach to quantitative modeling is presented that incorporates return forecasts, a risk model, and a transaction ...
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