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  • © 2015

Demystifying the Meese-Rogoff Puzzle

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USD 54.99
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  • ISBN: 978-1-137-45248-1
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Table of contents (11 chapters)

  1. Front Matter

    Pages i-xiv
  2. The Meese-Rogoff Puzzle

    • Imad A. Moosa, Kelly Burns
    Pages 1-13
  3. A Selective Survey of Subsequent Studies

    • Imad A. Moosa, Kelly Burns
    Pages 14-31
  4. Basic Methodology, Data and Results

    • Imad A. Moosa, Kelly Burns
    Pages 32-43
  5. Alternative Measures of Forecasting Accuracy

    • Imad A. Moosa, Kelly Burns
    Pages 44-62
  6. Stochastic Movements in the Underlying Parameters

    • Imad A. Moosa, Kelly Burns
    Pages 63-72
  7. Model Misspecification

    • Imad A. Moosa, Kelly Burns
    Pages 73-88
  8. The Effect of Non-linearities

    • Imad A. Moosa, Kelly Burns
    Pages 89-97
  9. Simultaneous Equation Bias

    • Imad A. Moosa, Kelly Burns
    Pages 98-104
  10. Sampling Errors

    • Imad A. Moosa, Kelly Burns
    Pages 105-115
  11. Modelling Expectations

    • Imad A. Moosa, Kelly Burns
    Pages 116-125
  12. Concluding Remarks

    • Imad A. Moosa, Kelly Burns
    Pages 126-136
  13. Back Matter

    Pages 137-150

About this book

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

  • Monash University, Australia

    Imad A. Moosa

  • Curtin University, Australia

    Kelly Burns

About the authors

Imad Moosa is Professor of Finance at the Royal Melbourne Institute of Technology (RMIT), Australia. He has also held previous appointments at Monash and La Trobe Universities, Australia, and the University of Sheffield, UK. Prior to working in academia he held professional positions at the International Monetary Fund and in investment banking. He has published 16 books and over 200 papers.

Kelly Burns is a Research Fellow at Curtin Graduate School of Business, Australia. She has held previous appointments at the Australian Bureau of Statistics, the Department of Premier and Cabinet, the Department of Justice, and the Colonial First State. In 2002, she graduated from La Trobe University, Australia, and was the recipient of the Dean's Medal for Economics.

Bibliographic Information

Buying options

eBook
USD 54.99
Price excludes VAT (USA)
  • ISBN: 978-1-137-45248-1
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
Hardcover Book
USD 70.00
Price excludes VAT (USA)