FORECASTING DISCONNECTED EXCHANGE RATES
通过从大量基本面中内生选择预测模型，发现汇率并非与基本面脱节，但不同预测期和货币的基本面预测能力不同；短期无法超越随机游走，长期表现改善。
SUMMARY The inability of empirical models to forecast exchange rates has given rise to the belief that exchange rates are disconnected from macroeconomic fundamentals. This paper addresses the potential disconnect by endogenously selecting forecast models from a broad set of fundamentals. The procedure shows that exchange rates are not disconnected from fundamentals, but fundamentals vary in their predictive content at different forecast horizons and for different currencies. Performing model selection out‐of‐sample is challenging. At short horizons, the method cannot outperform a random walk, although the performance is improved at long horizons. These findings are confirmed across currencies and forecast evaluation methods. Copyright © 2013 John Wiley & Sons, Ltd.