Exchange Rate Predictability and Monetary Fundamentals in a Small Multi-Country Panel
This paper uses a panel of vector error-correction models based on a common long-run relationship to test whether a number of Euro exchange rates have a long-run link with monetary fundamentals, followed by assessing the out-of-sample fit of this common long-run exchange rate model relative to naive random walk-based forecasts. Published in the Journal of Money, Credit, and Banking, 2005.