Download or read book Forecasting the exchange rate of currencies A panel data approach written by Sajjad Hossine Sharif and published by GRIN Verlag. This book was released on 2017-01-16 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2015 in the subject Business economics - Investment and Finance, grade: A, , course: International Financial Management, language: English, abstract: The exchange rate on a daily basis is an indispensable factor in the foreign exchange market as well as in international trade. Many traders make a profit based on the pip in the foreign exchange market. Moreover, inflation and deflation of a currency against another currency is the root of making a profit in the foreign exchange market. Even in the international trade many individual traders and multi-national corporations always carefully observes the fluctuation of the exchange rate in order to determine the exchange rate efficiently and accurately. Because the more accurate the forecasted exchange rate is, the higher the chance becomes to make a profit only by investing a little amount of money in the foreign exchange market. The exchange rate has also significant impact on the export, import, foreign direct investment etc. This paper pursues the goal to explain how an individual or an organization can formulate future exchange rate of any currency in an efficient and time effective way. To meet this demand, this paper utilizes the help of panel data and a regression model. As a sample, this paper considers USD/BDT for a forecast. It must be noted that, with different panel data of different currencies, the method will remain same if anyone wants to forecast exchange rates of different currencies.
Download or read book Exchange Rate Modelling written by Ronald MacDonald and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are foreign exchange markets efficient? Are fundamentals important for predicting exchange rate movements? What is the signal-to-ratio of high frequency exchange rate changes? Is it possible to define a measure of the equilibrium exchange rate that is useful from an assessment perspective? The book is a selective survey of current thinking on key topics in exchange rate economics, supplemented throughout by new empirical evidence. The focus is on the use of advanced econometric tools to find answers to these and other questions which are important to practitioners, policy-makers and academic economists. In addition, the book addresses more technical econometric considerations such as the importance of the choice between single-equation and system-wide approaches to modelling the exchange rate, and the reduced form versus structural equation problems. Readers will gain both a comprehensive overview of the way macroeconomists approach exchange rate modelling, and an understanding of how advanced techniques can help them explain and predict the behavior of this crucial economic variable.
Download or read book Exchange Rate Forecasting Techniques Survey Data and Implications for the Foreign Exchange Market written by International Monetary Fund and published by International Monetary Fund. This book was released on 1990-04-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper seeks to advance the discussion of monetary policy strategies in several ways. One involves a comparison of targets for nominal GNP and the price level, with emphasis on specificational robustness and implications for output variability. A second pertains to various “indicator” variables recently suggested by Federal Reserve officials. In this regard, a careful review of the relevant conceptual distinctions--concerning instruments, targets, indicators, etc.--is required. Finally, the proposal that strategy should be conducted so as to place minimal reliance on quantity variables is given attention, in the context of evidence concerning the merits of an interest rate instrument.
Download or read book Foreign Exchange Rates written by Arif Orçun Söylemez and published by Routledge. This book was released on 2021-02-07 with total page 83 pages. Available in PDF, EPUB and Kindle. Book excerpt: Predicting foreign exchange rates has presented a long-standing challenge for economists. However, the recent advances in computational techniques, statistical methods, newer datasets on emerging market currencies, etc., offer some hope. While we are still unable to beat a driftless random walk model, there has been serious progress in the field. This book provides an in-depth assessment of the use of novel statistical approaches and machine learning tools in predicting foreign exchange rate movement. First, it offers a historical account of how exchange rate regimes have evolved over time, which is critical to understanding turning points in a historical time series. It then presents an overview of the previous attempts at modeling exchange rates, and how different methods fared during this process. At the core sections of the book, the author examines the time series characteristics of exchange rates and how contemporary statistics and machine learning can be useful in improving predictive power, compared to previous methods used. Exchange rate determination is an active research area, and this book will appeal to graduate-level students of international economics, international finance, open economy macroeconomics, and management. The book is written in a clear, engaging, and straightforward way, and will greatly improve access to this much-needed knowledge in the field.
Download or read book Forecasting Exchange Rates Out of sample with Panel Methods and Real time Data written by Onur Ince and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Monetary Approach to the Exchange Rate written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1992-05-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We re-examine the monetary approach to the exchange rate from a number of perspectives, using monthly data on the deutschemark-dollar exchange rate. Using the Campbell-Shiller technique for testing present value models, we reject the restrictions imposed upon the data by the forward-looking rational expectations monetary model. We demonstrate, however, that the monetary model is validated as a long-run equilibrium condition. Moreover, imposing the long-run monetary model restrictions in a dynamic error correction framework leads to exchange rate forecasts which are superior to those generated by a random walk forecasting model.
Download or read book Currency Forecasting written by Michael Roy Rosenberg and published by . This book was released on 1996 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text explains the methods and aspects of exchange rate forecasting, including purchasing power, parity, interest rate differentials and technical analysis. Guidelines for reducing risk with forecasting strategies are included, as are techniques for co
Download or read book Adaptive Forecasting of Exchange Rates with Panel Data written by Leonardo Morales-Arias and published by . This book was released on 2010 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Exchange Rate Forecasting written by Christian Dunis and published by Irwin Professional Publishing. This book was released on 1989 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Download or read book NBER Macroeconomics Annual 2007 written by Daron Acemoglu and published by . This book was released on 2008-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NBER Macroeconomics Annual provides a forum for important debates in contemporary macroeconomics and major developments in the theory of macroeconomic analysis and policy that include leading economists from a variety of fields. The papers and accompanying discussions in NBER Macroeconomics Annual 2007 address exchange-rate models; implications of credit market frictions; cyclical budgetary policy and economic growth; the impacts of shocks to government spending on consumption, real wages, and employment; dynamic macroeconomic models; and the role of cyclical entry of new firms and products on the nature of business-cycle fluctuations and on the effects of monetary policy.
Download or read book A Forecasting Model for Exchange Rate Changes written by Animesh Ghoshal and published by . This book was released on 1980 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study develops a discriminant analysis model to predict changes in exchange rates of foreign currencies over the medium term. Using annual economic data for 20 major countries for the years 1972 through 1978, the study identified relevant economic variables which correctly classified the currency of a country as appreciating or depreciating against the U.S. dollar one year in the future. Because annual data are available in April, the model would give approximately eight months early warning. Four variables--international reserves, money supply, price levels, and current balance of payments--were found to have significant explanatory power. The model determined approximate weights for each variable. Overall, the model had a prediction accuracy of 75%. A holdout sample of predictions for 1979 had a classification accuracy of 80%. The model predicts only the direction of exchange rate change one year in the future. It does not consider the magnitude of change nor movements in exchange rates during the year. An attempt at a three-way classification to isolate currencies which changed less than 10% gave a relatively low classification accuracy of 55%. (Author).
Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: ''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""
Download or read book The External Balance Assessment EBA Methodology written by Mr.Steven Phillips and published by International Monetary Fund. This book was released on 2014-01-13 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: The External Balance Assessment (EBA) methodology has been developed by the IMF’s Research Department as a successor to the CGER methodology for assessing current accounts and exchange rates in a multilaterally consistent manner. Compared to other approaches, EBA emphasizes distinguishing between the positive empirical analysis and the normative assessment of current accounts and exchange rates, and highlights the roles of policies and policy distortions. This paper provides a comprehensive description and discussion of the 2013 version (“2.0”) of the EBA methodology, including areas for its further development.
Download or read book Forecasting Exchange Rates Employing Technical and Fundamental Data Before and During the Financial Crisis written by Gion Donat Piras and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: It is a well known fact that a naive random walk generates better exchange rate forecasts than economic models. The exchange rate is episodically unstable and the switching nature is inconsistent with a linear representation. However, empirical evidence in favour of non-linear models such as regime switching models, neural networks or non-parametric ones is weak. The present paper adopts an econometric method, which incorporates dynamic model averaging (DMA) and selection (DMS). The DMA / DMS framework adds additionally layers of flexibility by allowing parameters as well as the entire forecasting model to evolve over time. In addition this paper takes a different approach by forecasting exchange rates at a daily frequency. Thereby financial data is used as a proxy for macro-economic fundamentals and technical indicators are included in the set of potential predictor variables. The paper shows strong empirical evidence in favour of the employed model in the period before the bankruptcy of Lehman Brothers. During the financial crisis predictability in terms of the mean squared forecast error breaks down. The time-varying evolution of fundamental and technical forecasts allows investigating the evolution of the influence of two types of agents (fundamentalists and chartists) believed to operate in the foreign exchange market.
Download or read book Cross Border Currency Exposures written by Luciana Juvenal and published by International Monetary Fund. This book was released on 2019-12-27 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a dataset on the currency composition of the international investment position for a group of 50 countries for the period 1990-2017. It improves available data based on estimates by incorporating actual data reported by statistical authorities and refining estimation methods. The paper illustrates current and new uses of these data, with particular focus on the evolution of currency exposures of cross-border positions.
Download or read book The Monetary Approach to the Exchange Rate written by Ronald MacDonald and published by . This book was released on 2006 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We re-examine the monetary approach to the exchange rate from a number of perspectives, using monthly data on the deutschemark-dollar exchange rate. Using the Campbell-Shiller technique for testing present value models, we reject the restrictions imposed upon the data by the forward-looking rational expectations monetary model. We demonstrate, however, that the monetary model is validated as a long-run equilibrium condition. Moreover, imposing the long-run monetary model restrictions in a dynamic error correction framework leads to exchange rate forecasts which are superior to those generated by a random walk forecasting model.
