The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?
检验了基于国际金融调整均衡模型的汇率可预测性，发现该模型能为风险厌恶投资者带来显著经济价值，即使考虑交易成本也优于随机游走基准。
This paper examines the exchange rate predictability stemming from the equilibrium model of international financial adjustment developed by Gourinchas and Rey (2007). Using theoretically motivated predictive variables that measure cyclical external imbalances for country pairs, we assess the ability of this model to forecast out-of-sample four major US dollar exchange rates using criteria of economic pro…tability. The analysis shows that the model delivers tangible economic value to a risk averse investor, who will pay high performance fees to switch from a portfolio strategy based on the random walk benchmark to one that conditions on the structural model. The results are robust to the presence of reasonable transaction costs across various forecasting performance criteria, and they are further enhanced when sensible economic restrictions are imposed on the predictive model.