Demystifying the Meese-Rogoff Puzzle (eBook)

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.

Cover 1
Half-Title 2
Title 4
Copyright 5
Dedication 6
Contents 7
List of Figures 8
List of Tables 9
Preface 11
List of Abbreviations 13
List of Currency Codes 15
1 The Meese–Rogoff Puzzle 16
2 A Selective Survey of Subsequent Studies 29
3 Basic Methodology, Data and Results 47
4 Alternative Measures of Forecasting Accuracy 59
5 Stochastic Movements in the Underlying Parameters 78
6 Model Misspecification 88
7 The Effect of Non-linearities 104
8 Simultaneous Equation Bias 113
9 Sampling Errors 120
10 Modelling Expectations 131
11 Concluding Remarks 141
References 152
Index 163