LEADER 02503oam 22004333a 450 001 9910703320303321 005 20230622022913.0 035 $a(NBER)w1732 035 $a(CKB)3240000000025993 035 $a(OCoLC)690048227 035 $a(EXLCZ)993240000000025993 100 $a20230622d1985 fy 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aWas it Real? The Exchange Rate-Interest Differential Relation, 1973-1984 /$fRichard Meese, Kenneth Rogoff 210 $aCambridge, Mass$cNational Bureau of Economic Research$d1985 210 1$a[Washington, D.C.] :$c[Board of Governors of the Federal Reserve System],$d[1985] 215 $a1 online resource$cillustrations (black and white); 225 1 $aNBER working paper series$vno. w1732 300 $aOctober 1985. 320 $aIncludes bibliographical references (pages 26-29). 330 3 $aThe main result of Meese and Rogoff [1983 a,b] is that small structural exchange rate models forecast major dollar exchange rates no better than a naive random walk model. This result obtains even when the model forecasts are based on actual realized values of the explanatory variables. Here we improve our methodology by implementing a new test of out-of-sample fit; the test is valid even for overlapping long-horizon forecasts. We find that the dollar exchange rate models perform somewhat less badly over the recent Reagan regime period than over the episodes studied previously. The methodology is also applied to the mark/yen and mark/pound exchange rates, and to real exchange rates. Finally, we test to see if real exchange rates and real interest differentials can be represented as a cointegrated process. The evidence suggests that there is no single common influence inducing nonstationarity in both real exchange rates and real interest differentials. 410 0$aWorking Paper Series (National Bureau of Economic Research)$vno. w1732. 517 $aWas it real? 606 $aInternational Economics$2jelc 615 7$aInternational Economics 686 $aF$2jelc 700 $aMeese$b Richard$01363735 701 $aRogoff$b Kenneth$0324217 712 02$aNational Bureau of Economic Research. 801 0$bMaCbNBER 801 1$bMaCbNBER 906 $aBOOK 912 $a9910703320303321 996 $aWas it Real? The Exchange Rate-Interest Differential Relation, 1973-1984$93384676 997 $aUNINA