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Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?

Jiahan Li, Ilias Tsiakas and Wei Wang.

in Journal of Financial Econometrics

March 2015; p ublished online March 2014 .

Journal Article. Subjects: Financial Forecasting and Simulation; International Financial Markets; Economics; International Finance. 18289 words.

This article shows that economic fundamentals can generate reliable out-of-sample forecasts for exchange rates when prediction is based on a “kitchen-sink” regression that incorporates...