Exchange rates and fundamentals: Evidence from long-horizon regression tests

Shiu Sheng Chen*, Yu His Chou

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

6 Citations (Scopus)


This article considers the long-run relationship between nominal exchange rates and fundamentals from a different perspective. We apply a long-horizon regression approach proposed by Fisher and Seater (1993) and find evidence supporting the explanatory power of exchange rate models. In particular, the Taylor-rule model outperforms other conventional models. We then use the inverse power function (IPF) proposed by Andrews (1989) to investigate the power of the Fisher-Seater test. The IPF analysis provides additional evidence supporting exchange rate models.

Original languageEnglish
Pages (from-to)63-88
Number of pages26
JournalOxford Bulletin of Economics and Statistics
Issue number1
Publication statusPublished - 2010 Feb
Externally publishedYes

ASJC Scopus subject areas

  • Statistics and Probability
  • Social Sciences (miscellaneous)
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


Dive into the research topics of 'Exchange rates and fundamentals: Evidence from long-horizon regression tests'. Together they form a unique fingerprint.

Cite this