Why is it so difficult to beat the random walk forecast of exchange rates?

2003/04/05 by Lutz Kilian, Mark P. Taylor · 791 citations
Economics, Econometrics and Finance · Mathematics · #Autoregressive integrated moving average #Autoregressive model #Complex Systems and Time Series Analysis #Econometrics #Economics #Exchange rate #Market Dynamics and Volatility #Mathematics #Monetary Policy and Economic Impact #Monetary economics #Nonlinear system #Physics #Predictability #Random walk #Random walk hypothesis #Series (stratigraphy) #Statistics #Time series #Volatility (finance)

paper · doi:10.1016/s0022-1996(02)00060-0

published in Journal of International Economics 60(1), 85-107 (Elsevier BV)

openalex publication_date 2003/04/05 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/26

Citations

• Banking on currency forecasts: How predictable is change in money?

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