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Evaluating the Forecast Accuracy of Policymakers, Private Banks and Exchange Rate Forecasting Models

Solbakken, Alexander Deilhaug
Master thesis
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URI
http://hdl.handle.net/11250/2444441
Date
2016
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  • Master of Science [1116]
Abstract
This paper compares the out-of-sample forecast accuracy of policymakers, private banks

and three classes of exchange rate models in predicting the yearly Norwegian kroner/Euro,

I-44 and KKI exchange rate. The three classes are time series models, fundamental models,

and general models (simple models that combine various variables that in the

literature have found to hold predictive power on exchange rates). My findings

support the evidence of Meese and Rogoff (1983) that the naïve random walk model is

difficult to outperform out-of-sample. Further, I find that Policymakers and Nordic Banks

are reliable forecasters producing stable and precise forecasts. Finally, I find evidence for

the stable and accurate forecasting power of the Taylor Rule and the output gap differential

between Norway and the Euro-zone.
Description
Masteroppgave(MSc) in Master of Science in Business, Economics - Handelshøyskolen BI, 2016
Publisher
BI Norwegian Business School

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