Exchange rates are notoriously difficult to predict. Various theoretical and empirical papers have been written on the topic, most notably by Meese and Rogoff (1983a, 1983b). In this regard, several institutions – in particular the IMF – have invested significant resources in developing state-of-the-art models to estimate equilibrium exchange rates, assess their current values for overvaluation or undervaluation, and predict their future paths (e.g. Lee et al. 2008, Phillips et al. 2013). In a recent paper, I evaluate the predictive performance of one particular vintage of IMF exchange rate models for subsequent ... (full story)