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Periodical article Periodical article Leiden University catalogue Leiden University catalogue WorldCat catalogue WorldCat
Title:Out-of-sample performance of the macroeconomic balance approach to the real exchange rate in Sub-Saharan Africa
Authors:Cerra, ValerieISNI
Saxena, Sweta ChamanISNI
Year:2014
Periodical:Journal of African Economies (ISSN 0963-8024)
Volume:23
Issue:3
Pages:346-360
Language:English
Geographic term:Subsaharan Africa
Subjects:exchange rates
economic models
External link:https://doi.org/10.1093/jae/eju002
Abstract:This paper tests the performance of the macroeconomic balance (MB) approach (or fundamental equilibrium exchange rate approach) in predicting future movements of real exchange rates (RERs) and current accounts. The analysis is conducted for countries in Sub-Saharan Africa (SSA). Econometric evidence shows that a random walk beats current account and RER misalignments from the MB approach in out-of-sample forecasting accuracy. However, the MB approach helps to predict the direction of change of these variables. Bibliogr., notes, ref., sum. [Journal abstract]
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