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Heri, E. Zur Prognostizierbarkeit von Wechselkursänderungen. . Ein empirischer Vergleich verschiedener Prognosefunktionen. Journal of Contextual Economics – Schmollers Jahrbuch, 104(4), 369-388.
Heri, Erwin W. "Zur Prognostizierbarkeit von Wechselkursänderungen. Ein empirischer Vergleich verschiedener Prognosefunktionen. " Journal of Contextual Economics – Schmollers Jahrbuch 104.4, 1984, 369-388.
Heri, Erwin W. (1984): Zur Prognostizierbarkeit von Wechselkursänderungen, in: Journal of Contextual Economics – Schmollers Jahrbuch, vol. 104, iss. 4, 369-388, [online]


Zur Prognostizierbarkeit von Wechselkursänderungen

Ein empirischer Vergleich verschiedener Prognosefunktionen

Heri, Erwin W.

Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 104 (1984), Iss. 4 : pp. 369–388

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Heri, Erwin W.

Cited By

  1. Wechselkursbewegungen. Einige Ergebnisse einer Analyse der kurzen Frist

    Erwin, Heri,

    Credit and Capital Markets - Kredit und Kapital, Vol. 17 (1984), Iss. 2 P.223 [Citations: 1]


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This study pursues a joint purpose: firstly, it attempts to find an optimal indicator for expected exchange rate changes - a variable that appears quite often in open-economy models - and secondly it tests whether it is possible to find basic forecasting functions that can systematically ‘beat the market’. The empirical results point towards a poorer forecasting accuracy of functions that are based on leading indicators as compared to ‘naive’ methods that rest on rational expectations theory. In most cases the respective interest rate differential - together with the ‘zero-change’ forecast - proved to be the most accurate technique for forecasting exchange rate changes.