題目：The Random Walk versus Unbiased Efficiency: Can we Separate the Wheat from the Chaff?
主講人：Imad Moosa 教授（Royal Melbourne Institute of Technology, Australia）
時間：2015年5月19日(周二)下午4:00-5:30
地點：主樓216會議室
主講人簡介：
Imad Moosa is currently a Professor of Finance at RMIT, Melbourne. Before taking on the present position, he was a Professor of Finance at Monash University and La Trobe University, and a Lecturer in Economics and Finance at the University of Sheffield. Prior to becoming an academic in 1991, he was a professional economist and a financial journalist for over ten years, and he also worked as an economist at the Financial Institutions Division of the Bureau of Statistics, the International Monetary Fund (Washington DC). Professor Moosa has published 15 books and over 170 papers in international journals. His most recent book is “The US-China Trade Dispute: Facts, Figures and Myths”, which was published by Edward Elgar. He has served in a number of advisory positions, including his role as an economic advisor to the U.S. Treasury.
內容簡介：
It is demonstrated that the conventional monetary model of exchange rates can, irrespective of whether it is estimated with constant or time-varying parameters, outperform the random walk in out-of-sample forecasting if forecasting power is measured by direction accuracy and profitability. The failure of conventional macroeconomic models to outperform the random walk in terms of the root mean square error should be expected rather than considered to be a puzzle. For reasons pertaining to their sound theoretical foundations, micro-structure models can outperform the random walk in terms of the root mean square error and in the true sense of forecasting.
（主辦：國際貿易與金融系）
