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Medium Term Exchange Rate Forecasting
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Book Synopsis Medium-Term Exchange Rate Forecasting by : Mr.Guy Meredith
Download or read book Medium-Term Exchange Rate Forecasting written by Mr.Guy Meredith and published by International Monetary Fund. This book was released on 2003-01-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Exchange Rate Determination by : Michael Rosenberg
Download or read book Exchange Rate Determination written by Michael Rosenberg and published by McGraw Hill Professional. This book was released on 2003-05-19 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market by : International Monetary Fund
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 1990-05-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis A Forecasting Model for Exchange Rate Changes by : Animesh Ghoshal
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).
Book Synopsis A Medium-term Forecasting Equation for the Canada-U.S. Real Exchange Rate by : Canada. Economic and Fiscal Policy Branch
Download or read book A Medium-term Forecasting Equation for the Canada-U.S. Real Exchange Rate written by Canada. Economic and Fiscal Policy Branch and published by . This book was released on 2001 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange rates, terms-of-trade, real non-energy commodity prices, real computer prices.
Book Synopsis A Medium-term Forecasting Equation for the Canada-U.S. Real Exchange Rate by : Canada. Department of Finance
Download or read book A Medium-term Forecasting Equation for the Canada-U.S. Real Exchange Rate written by Canada. Department of Finance and published by . This book was released on 2001 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange rates, terms-of-trade, real non-energy commodity prices, real computer prices.
Book Synopsis Exchange Rate Forecasting by : Wenyi Sun
Download or read book Exchange Rate Forecasting written by Wenyi Sun and published by . This book was released on 2005 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Handbook of Exchange Rates by : Jessica James
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.
Book Synopsis Currency Forecasting by : Michael Roy Rosenberg
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
Book Synopsis Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market by : Jeffrey A. Frankel
Download or read book Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market written by Jeffrey A. Frankel and published by . This book was released on 1991 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Monetary Approach to the Exchange Rate by : Mr.Mark P. Taylor
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.
Book Synopsis Nonlinear Exchange Rate Models by : Lucio Sarno
Download or read book Nonlinear Exchange Rate Models written by Lucio Sarno and published by International Monetary Fund. This book was released on 2003-05-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange rates help resolve the "purchasing power parity (PPP) puzzles." The second question is whether recently developed nonlinear, regime-switching vector equilibrium correction models of the nominal exchange rate can beat a random walk model, the standard benchmark in the exchange rate literature, in terms of out-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear) exchange rate models are discussed with reference to different forecast accuracy criteria.
Book Synopsis NBER Macroeconomics Annual 2007 by : Daron Acemoglu
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.
Book Synopsis FX Intervention to Stabilize or Manipulate the Exchange Rate? Inference from Profitability by : Mr.Damiano Sandri
Download or read book FX Intervention to Stabilize or Manipulate the Exchange Rate? Inference from Profitability written by Mr.Damiano Sandri and published by International Monetary Fund. This book was released on 2020-06-12 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the profitability of FX swaps used by the central bank of Brazil to shed light on the rationale for FX intervention. We find that swaps are profitable in expectation, suggesting that FX intervention is used to stabilize the exchange rate in the face of temporary excessive movements rather than to manipulate it away from fundamental values. In line with this interpretation, we find that the scale of FX intervention responds to the degree of exchange rate misalignment relative to UIP conditions. We also document that intervention is more aggressive when there is less uncertainty about the medium-term level of the exchange rate and when the exchange rate is overvalued rather than undervalued.
Book Synopsis Exchange Rate Economics by : Ronald MacDonald
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 Long written by Mr.Lorenzo Giorgianni and published by International Monetary Fund. This book was released on 1997-01-01 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction regressions. By considering the implied vector error-correction model, we show that little is to be gained from estimating such regressions for horizons greater than one time period. We also show that in small to medium samples the long-horizon procedure gives rise to spurious evidence of predictive power. A simulation study demonstrates that even when using this technique on two independent series, estimates, diagnostic statistics and graphical evidence incorrectly suggest a high degree of predictability of the dependent variable.
Book Synopsis Interest Rate Analysis and Forecasting by : David Kern
Download or read book Interest Rate Analysis and Forecasting written by David Kern and published by . This book was released on 1992 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of this book is on interest rate forecasting, and the interaction between analytical factors, political and economic developments and changes in the financial markets. The book takes an international approach with the emphasis on the USA, Germany, Japan and the UK.
