Structural VAR and BVAR models of exchange rate determination: a comparison of their forecasting performance: Sarantis, N. and Stewart, C. Journal of Forecasting 14 (3), 201–215 (May 1995)

Structural, VAR and BVAR models of excha

Structural, VAR and BVAR models of exchange rate determination: A comparison of their forecasting performance

✍ Nicholas Sarantis; Chris Stewart 📂 Article 📅 1995 🏛 John Wiley and Sons 🌐 English ⚖ 997 KB

This paper compares the out-of-sample forecasting accuracy of a wide class of structural, BVAR and VAR models for major sterling exchange rates over different forecast horizons. As representative structural models we employ a portfolio balance model and a modified uncovered interest parity model, wi