ON THE SOURCES OF UNCERTAINTY IN EXCHANGE RATE PREDICTABILITY
在一个统一框架下考察了汇率预测模型中四种不确定性来源，发现高系数变异性模型在超过一个月的预测期上有改进，而一个月内估计和时变系数不确定性是主要障碍。
Abstract 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.