Template-Type: ReDIF-Paper 1.0
Author-Name: Anna Naszódi
Author-X-Name-First: Anna
Author-X-Name-Last: Naszódi
Author-Email: naszodia@mnb.hu
Author-Workplace-Name: Magyar Nemzeti Bank (central bank of Hungary)
Title: Testing the asset pricing model of exchange rates with survey data
Abstract: This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some alternative models. The asset pricing model is supported by the test since it has significantly better out-of-sample fit on survey data than simpler models including the random walk. The traditional test based on forecasting ability is applied as well. The asset pricing model proves to have better forecast accuracy in case of some exchange rates and forecast horizons than the random walk.
Length: 44 pages
Creation-Date: 2011
File-URL: http://www.mnb.hu/letoltes/wp-2011-02.pdf
File-Format: Application/pdf
Number: 2011/2
Classification-JEL: F31, F36, G13
Keywords: asset pricing exchange rate model, present value model of exchange rate, survey data

Handle: RePEc:mnb:wpaper:2011/2