Polish paper says PPP model can predict short-term exchange rates


A working paper, published by the National Bank of Poland today (October 9), find real exchange rates can be forecast more accurately using a half-life purchasing power parity (PPP) model compared with using a standard ‘random walk' approach.

The authors, Michele Ca‘ Zorzi and Michał Rubaszek, said the PPP approach, which suggests the relative price of identical domestic and foreign baskets of goods is constant when expressed in a common currency, can be used for forecasting both short-term and

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.centralbanking.com/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: