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Author: Mr.Guy Meredith
Publisher: International Monetary Fund
ISBN: 1451843933
Category : Business & Economics
Languages : en
Pages : 33
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Book Description
The medium-term predictability of exchange rate movements is examined using three models of fundamentals: purchasing power parity, the monetary model, and uncovered interest parity. While the first two approaches yield favorable in-sample results, these largely reflect finite-sample estimation biases. Adjusting for these biases, there is little evidence of predictability, consistent with the lack of systematic improvement in out-of-sample forecasting performance relative to a random walk. Uncovered interest parity fares better at long horizons, but reflects information already embodied in market prices; in this sense, it may not be useful as an indicator of exchange rate misalignment. While more elaborate models of fundamentals might have better medium-term forecasting properties, careful attention must be paid to finite-sample biases in assessing predictability.
Author: Mr.Guy Meredith
Publisher: International Monetary Fund
ISBN: 1451843933
Category : Business & Economics
Languages : en
Pages : 33
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Book Description
The medium-term predictability of exchange rate movements is examined using three models of fundamentals: purchasing power parity, the monetary model, and uncovered interest parity. While the first two approaches yield favorable in-sample results, these largely reflect finite-sample estimation biases. Adjusting for these biases, there is little evidence of predictability, consistent with the lack of systematic improvement in out-of-sample forecasting performance relative to a random walk. Uncovered interest parity fares better at long horizons, but reflects information already embodied in market prices; in this sense, it may not be useful as an indicator of exchange rate misalignment. While more elaborate models of fundamentals might have better medium-term forecasting properties, careful attention must be paid to finite-sample biases in assessing predictability.
Author: Michael Rosenberg
Publisher: McGraw Hill Professional
ISBN: 9780071415019
Category : Business & Economics
Languages : en
Pages : 300
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Book Description
Models and Strategies for Exchange Rate ForecastingMichael R. RosenbergGetting an accurate exchange rate is critical for any company doing business in today's global economy. Exchange Rate Determination--written by the number one-ranked foreign exchange team in the world--examines the methods used to accurately and profitably forecast foreign exchange rates. This hands-on guidebook uses extensive charts and tables to examine currency option markets, productivity trends and exchange rates; technical analysis methods to improve currency forecasting accuracy; and more.
Author: International Monetary Fund
Publisher: International Monetary Fund
ISBN: 1451975007
Category : Business & Economics
Languages : en
Pages : 32
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Book Description
This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated estimates using survey data. Here we follow most of the theoretical and empirical literature in acting as if all market participants share the same expectation. The second half then addresses the possibility of heterogeneous expectations, particularly the distinction between “chartists” and “fundamentalists,” and the implications for trading in the foreign exchange market and for the formation of speculative bubbles.
Author: Animesh Ghoshal
Publisher:
ISBN:
Category :
Languages : en
Pages : 42
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Book Description
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).
Author: Canada. Economic and Fiscal Policy Branch
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 35
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Book Description
Exchange rates, terms-of-trade, real non-energy commodity prices, real computer prices.
Author: Canada. Department of Finance
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 0
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Book Description
Exchange rates, terms-of-trade, real non-energy commodity prices, real computer prices.
Author: Wenyi Sun
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
In recent years, a limited amount of work has been done on the medium-term linear composite method of forecasting. One common finding in the existing literature is that the consensus forecast measure is a biased predictor of future exchange rates. A widely accepted point of view in exchange rate forecasting research is that no theoretical model should be able to outperform a simple random walk. In this paper, recent exchange rate data and the Granger-Ramanathan linear estimation method are used to test medium-term forecasts. The currencies considered in this study are the most actively traded in the world and include: euros, Japanese yen, Canadian dollars, British pounds and Swiss francs. All currencies are examined relative to the US dollar. The major finding is that the linear composite model does in fact outperform a random walk model and an average forecast for Japanese yen, British pounds and Swiss francs. This evidence suggests that additional research should be conducted on exchange rate forecasting in general and on the linear composite forecast model in particular.
Author: Jessica James
Publisher: John Wiley & Sons
ISBN: 1118445775
Category : Business & Economics
Languages : en
Pages : 674
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Book Description
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.
Author: Michael Roy Rosenberg
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 408
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Book Description
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
Author: Jeffrey A. Frankel
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 46
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Book Description
