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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.
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Table of contents (11 chapters)
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Front Matter
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Back Matter
Authors and Affiliations
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
Book Title: Demystifying the Meese-Rogoff Puzzle
Authors: Imad A. Moosa, Kelly Burns
DOI: https://doi.org/10.1057/9781137452481
Publisher: Palgrave Pivot London
eBook Packages: Palgrave Economics & Finance Collection, Economics and Finance (R0)
Copyright Information: Palgrave Macmillan, a division of Macmillan Publishers Limited 2015
Hardcover ISBN: 978-1-137-45247-4Published: 17 December 2014
eBook ISBN: 978-1-137-45248-1Published: 17 December 2014
Edition Number: 1
Number of Pages: XIV, 150
Topics: Macroeconomics/Monetary Economics//Financial Economics, Econometrics