This paper is the first to use an economic theory-based model—the monetary model of exchange rates within a rational expectations present value framework—to forecast the daily exchange rate of a major currency. Our out-of-sample forecast evaluation period, spanning from 1990 to 2024, is longer than that of any other exchange rate forecasting study. We find that our model's forecasts outperform the random walk across all forecasting horizons, ranging from one day to five years. Moreover, a trading strategy based on our model's forecasts yields economically and statistically significant excess returns, surpassing those of the carry trade strategy.

中文翻译：

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预测英镑兑美元的每日汇率


本文首次使用基于经济理论的模型（理性预期现值框架内的汇率货币模型）来预测主要货币的每日汇率。我们的样本外预测评估期从 1990 年到 2024 年，比任何其他汇率预测研究都要长。我们发现，我们模型的预测在所有预测范围（从一天到五年）中都优于随机游走。此外，基于我们模型预测的交易策略在经济和统计上产生了显着的超额回报，超过了套利交易策略。