02503oam 22004333a 450 991070332030332120230622022913.0(NBER)w1732(CKB)3240000000025993(OCoLC)690048227(EXLCZ)99324000000002599320230622d1985 fy 0engurcnu||||||||txtrdacontentcrdamediacrrdacarrierWas it Real? The Exchange Rate-Interest Differential Relation, 1973-1984 /Richard Meese, Kenneth RogoffCambridge, MassNational Bureau of Economic Research1985[Washington, D.C.] :[Board of Governors of the Federal Reserve System],[1985]1 online resourceillustrations (black and white);NBER working paper seriesno. w1732October 1985.Includes bibliographical references (pages 26-29).The main result of Meese and Rogoff [1983 a,b] is that small structural exchange rate models forecast major dollar exchange rates no better than a naive random walk model. This result obtains even when the model forecasts are based on actual realized values of the explanatory variables. Here we improve our methodology by implementing a new test of out-of-sample fit; the test is valid even for overlapping long-horizon forecasts. We find that the dollar exchange rate models perform somewhat less badly over the recent Reagan regime period than over the episodes studied previously. The methodology is also applied to the mark/yen and mark/pound exchange rates, and to real exchange rates. Finally, we test to see if real exchange rates and real interest differentials can be represented as a cointegrated process. The evidence suggests that there is no single common influence inducing nonstationarity in both real exchange rates and real interest differentials.Working Paper Series (National Bureau of Economic Research)no. w1732.Was it real? International EconomicsjelcInternational EconomicsFjelcMeese Richard1363735Rogoff Kenneth324217National Bureau of Economic Research.MaCbNBERMaCbNBERBOOK9910703320303321Was it Real? The Exchange Rate-Interest Differential Relation, 1973-19843384676UNINA