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ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY
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ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY
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Journal Article
ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY
2018
Overview
In a unified framework, we examine four sources of uncertainty in exchange rate forecasting models: (i) random variations in the data, (ii) estimation uncertainty, (iii) uncertainty about the degree of time variation in coefficients, and (iv) uncertainty regarding the choice of the predictor. We find that models that embed a high degree of coefficient variability yield forecast improvements at horizons beyond one month. At the one-month horizon, and apart from the standard variance implied by unpredictable fluctuations in the data, the second and third sources of uncertainty listed above are key obstructions to predictive ability. The uncertainty regarding the choice of the predictors is negligible.
Publisher
Wiley Periodicals, Inc,Blackwell Publishing Ltd
Subject
