FORECAST PERFORMANCE OF EXCHANGE-RATE MODELS REVISITED

This paper re-evaluates the performance of reduced form exchange rate models by updating the Meese-Rogoff study (1983). This paper confirms earlier tests showing that simple monetary models do not perform well, but it finds more positive results for other monetary models that incorporate more dynamic econometric specifications. A simple error correction monetary model out-forecasts a random walk almost half of the time. © 1991, Taylor & Francis Group, LLC. All rights reserved.