Demystifying the Meese-Rogoff Puzzle

For the past 30 years international monetary economists have believed that exchange rate models cannot outperform the random walk in out-of-sample forecasting as a result of the 1983 paper written by Richard Meese and Kenneth Rogoff.Marking the culmination of their extensive research into the Meese-Rogoff puzzle, Moosa and Burns challenge the orthodoxy by demonstrating that the naïve random walk m...