• Kenneth Rogoff
  • Vania Stavrakeva


The Continuing Puzzle of Short Horizon Exchange Rate Forecasting. Kenneth Rogoff, Vania Stavrakeva, June 2008, Paper. "Are structural models getting closer to being able to forecast exchange rates at short horizons? Here we argue that misinterpretation of some new out-of-sample tests for nested models, over-reliance on asymptotic test statistics, and failure to sufficiently check robustness to alternative time windows have led many studies to overstate even the relatively thin positive results that have been found. We find that by allowing for common cross-country shocks in our panel forecasting..." (May require user account or purchase) Link