HKMA on how best to predict exchange-rate movement

Combining a number of exchange-rate forecasting models works better than relying on a single one, research published by the Hong Kong Monetary Authority reveals.

The study compares the forecast performance of the purchasing power parity model, the uncovered interest rate parity model, the sticky price monetary model; the uncovered interest rate parity model; the model based on the Bayesian model averaging technique, and a combined forecast of all the above models with benchmarks given by the

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