Demystifying the Meese-Rogoff Puzzle

Authors: Moosa, I., Burns, K.

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-1-137-45248-1
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $70.00
price for USA
  • ISBN 978-1-137-45247-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $67.50
price for USA
  • ISBN 978-1-349-49743-0
  • Free shipping for individuals worldwide
  • This title is currently reprinting. You can pre-order your copy now.
About this book

For the past 30 years international monetary economists have believed that exchange rate models cannot outperform the random walk in out-of-sample forecasting as a result of the 1983 paper written by Richard Meese and Kenneth Rogoff. Marking the culmination of their extensive research into the Meese-Rogoff puzzle, Moosa and Burns challenge the orthodoxy by demonstrating that the naïve random walk model can be outperformed by exchange rate models when forecasting accuracy is measured by metrics that do not rely exclusively on the magnitude of forecasting error. The authors present compelling evidence, supported by their own measure: the 'adjusted root mean square error', to finally solve the Meese-Rogoff puzzle and provide a new alternative. Demystifying the Meese-Rogoff Puzzle will appeal to academics with an interest in exchange rate economics and international monetary economics. It will also be a useful resource for central banks and financial institutions.

About the authors

Imad Moosa is Professor of Finance at the Royal Melbourne Institute of Technology (RMIT), Australia. He has also held previous appointments at Monash and La Trobe Universities, Australia, and the University of Sheffield, UK. Prior to working in academia he held professional positions at the International Monetary Fund and in investment banking. He has published 16 books and over 200 papers.

Kelly Burns is a Research Fellow at Curtin Graduate School of Business, Australia. She has held previous appointments at the Australian Bureau of Statistics, the Department of Premier and Cabinet, the Department of Justice, and the Colonial First State. In 2002, she graduated from La Trobe University, Australia, and was the recipient of the Dean's Medal for Economics.

Table of contents (11 chapters)

  • The Meese-Rogoff Puzzle

    Moosa, Imad A. (et al.)

    Pages 1-13

  • A Selective Survey of Subsequent Studies

    Moosa, Imad A. (et al.)

    Pages 14-31

  • Basic Methodology, Data and Results

    Moosa, Imad A. (et al.)

    Pages 32-43

  • Alternative Measures of Forecasting Accuracy

    Moosa, Imad A. (et al.)

    Pages 44-62

  • Stochastic Movements in the Underlying Parameters

    Moosa, Imad A. (et al.)

    Pages 63-72

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-1-137-45248-1
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $70.00
price for USA
  • ISBN 978-1-137-45247-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $67.50
price for USA
  • ISBN 978-1-349-49743-0
  • Free shipping for individuals worldwide
  • This title is currently reprinting. You can pre-order your copy now.

Services for this book

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Demystifying the Meese-Rogoff Puzzle
Authors
Copyright
2015
Publisher
Palgrave Macmillan UK
Copyright Holder
Palgrave Macmillan, a division of Macmillan Publishers Limited
eBook ISBN
978-1-137-45248-1
DOI
10.1057/9781137452481
Hardcover ISBN
978-1-137-45247-4
Softcover ISBN
978-1-349-49743-0
Edition Number
1
Number of Pages
XIV, 150
Topics