Forecasting The Exchange Rate Of Currencies A Panel Data Approach
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Forecasting The Exchange Rate Of Currencies A Panel Data Approach
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Author : Sajjad Hossine
language : en
Publisher: GRIN Verlag
Release Date : 2017-01-16
Forecasting The Exchange Rate Of Currencies A Panel Data Approach written by Sajjad Hossine and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-16 with Business & Economics categories.
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.
Exchange Rate Modelling
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Author : Ronald MacDonald
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-04-17
Exchange Rate Modelling written by Ronald MacDonald and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-04-17 with Business & Economics categories.
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.
Foreign Exchange Rates
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Author : Arif Orçun Söylemez
language : en
Publisher: Routledge
Release Date : 2021-02-07
Foreign Exchange Rates written by Arif Orçun Söylemez and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-02-07 with Business & Economics categories.
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.
Exchange Rate Forecasting Techniques Survey Data And Implications For The Foreign Exchange Market
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 1990-05-01
Exchange Rate Forecasting Techniques Survey Data And Implications For The Foreign Exchange Market written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990-05-01 with Business & Economics categories.
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.
Handbook Of Exchange Rates
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Author : Jessica James
language : en
Publisher: John Wiley & Sons
Release Date : 2012-05-29
Handbook Of Exchange Rates written by Jessica James and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-29 with Business & Economics categories.
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.
Forecasting Exchange Rates Out Of Sample With Panel Methods And Real Time Data
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Author : Onur Ince
language : en
Publisher:
Release Date : 2013
Forecasting Exchange Rates Out Of Sample With Panel Methods And Real Time Data written by Onur Ince and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
The Monetary Approach To The Exchange Rate
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Author : Mr.Mark P. Taylor
language : en
Publisher: International Monetary Fund
Release Date : 1992-05-01
The Monetary Approach To The Exchange Rate written by Mr.Mark P. Taylor and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992-05-01 with Business & Economics categories.
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.
Currency Forecasting
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Author : Michael Roy Rosenberg
language : en
Publisher:
Release Date : 1996
Currency Forecasting written by Michael Roy Rosenberg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996 with Business & Economics categories.
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
Exchange Rate Forecasting Techniques And Applications
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Author : I. Moosa
language : en
Publisher: Springer
Release Date : 2016-02-05
Exchange Rate Forecasting Techniques And Applications written by I. Moosa and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-05 with Business & Economics categories.
Forecasting exchange rates is a variable that preoccupies economists, businesses and governments, being more critical to more people than any other variable. In Exchange Rate Forecasting the author sets out to provide a concise survey of the techniques of forecasting - bringing together the various forecasting methods and applying them to the exchange rate in a highly accessible and readable manner. Highly practical in approach, the book provides an understanding of the techniques of forecasting with an emphasis on its applications and use in business decision-making, such as hedging, speculation, investment, financing and capital budgeting. In addition, the author also considers recent developments in the field, notably neural networks and chaos, again, with easy-to-understand explanations of these "rocket science" areas. The practical approach to forecasting is also reflected in the number of examples that pepper the text, whilst descriptions of some of the software packages that are used in practice to generate forecasts are also provided.
Adaptive Forecasting Of Exchange Rates With Panel Data
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Author : Leonardo Morales-Arias
language : en
Publisher:
Release Date : 2010
Adaptive Forecasting Of Exchange Rates With Panel Data written by Leonardo Morales-Arias and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.