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Monetary models of exchange rates and the random walk

Lagana, Gianluca and Sgro, Pasquale 2006, Monetary models of exchange rates and the random walk, Arthaniti (new series), vol. 5, no. 1-2, pp. 96-113.

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Title Monetary models of exchange rates and the random walk
Author(s) Lagana, Gianluca
Sgro, Pasquale
Journal name Arthaniti (new series)
Volume number 5
Issue number 1-2
Start page 96
End page 113
Publisher University of Calcutta
Place of publication Calcutta, India
Publication date 2006
ISSN 0976-7479
Keyword(s) monetary models of exchange rate
random walk with drift
out-of-sample forecasts
efficient market hypothesis
Summary Three alternative monetary models of exchange rate are tested using data on the Italian lira - US doIIar exchange rate. II is shown that up to the early 1990s these economic models perform better than the random walk model in out-of-sample forecasts.
Notes Reproduced with the specific permission of the copyright owner.
Language eng
Field of Research 140210 International Economics and International Finance
HERDC Research category C1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2006, University of Calcutta
Persistent URL http://hdl.handle.net/10536/DRO/DU:30009140

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