A Multivariate Posterior Odds Approach to Assessing Competing Exchange Rate Models
用贝叶斯后验几率比较美元与加元、英镑、马克、日元汇率的竞争模型，发现随机游走模型被其他模型超越，并指出忽略协方差信息会重现早期研究结果。
A is performed among competing models of bilateral exchange rates between the United States and Canada, the United Kingdom, Germany, and Japan. The authors compute posterior odds that any of the competing models is true, using standard Bayes' rule formulae. The distinguishing feature of this horse race is that the posterior odds incorporate the information contained in the covariances among the forecast errors of competing models. It is found, in contrast to Meese and Rogoff (1983), that the random walk model is dominated by one of the Dornbusch overshooting model, the Flexible Price Monetarist Model or the Hooper-Morton Model for all bilateral rates for almost all of the sample. The authors are able to replicate the random walk dominance results by forcing the posterior odds to ignore covariance information, so that in a sense their results encompass those of earlier studies. Copyright 1991 by MIT Press.