Long-Horizon Exchange Rate Predictability?
通过模拟研究发现，在中小样本中，长期误差修正回归的推断结果依赖于生成临界值的原假设，使用无协整原假设会削弱汇率可预测性的证据。
Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction equations. We show by means of a simulation study that, in small to medium samples, inference from this regression procedure depends on the null hypothesis that is used to generate empirical critical values. The standard assumption of a stationary error-correction term between exchange rates and fundamentals biases the results in favor of predictive power. Our results show that evidence of long-horizon predictability weakens when using empirical critical values generated under the more stringent null of no cointegration. Likewise, results are weakened using critical values generated under the null that exchange rates and fundamentals are generated by an unrestricted VAR with no integration restrictions. 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology