Exchange rates and fundamentals: Forecasting with long maturity forward rates
在汇率决定模型中，用观察到的远期汇率替代未观测的预期未来汇率，推导出新的误差修正预测模型，利用长期远期汇率近似基本面均衡汇率与实际汇率的差距，对主要货币的样本外预测效果前所未有。
We show that in a popular model of exchange rate determination, the unobserved expected future exchange rate can be substituted with the observed forward exchange rate. This allows the derivation of a new error-correction forecasting model, which approximates the gap between the fundamental equilibrium exchange rate and the actual exchange rate with the long-maturity forward exchange rate. Our out-of-sample forecasting results for major currencies are unprecedented. The forecasting model is simple, easy to replicate, and the data we use are available in real time and not subject to revisions.