A System Dynamics Model Of Exchange Rate Determination And Forecasting
Objective: The objective of this paper is to develop a model of exchange rate determination and forecasting to provide reasonable forecasts for the exchange rate to facilitate long-term investments. Design: The study develops the model using the system dynamics method. Grounded on the fundamental...
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| Format: | Article |
| Language: | English |
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seisense
2020-07-01
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| Series: | SEISENSE Journal of Management |
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| Online Access: | https://journal.seisense.com/jom/article/view/367 |
| _version_ | 1797260454699991040 |
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| author | Aima Khan |
| author_facet | Aima Khan |
| author_sort | Aima Khan |
| collection | DOAJ |
| description |
Objective: The objective of this paper is to develop a model of exchange rate determination and forecasting to provide reasonable forecasts for the exchange rate to facilitate long-term investments.
Design: The study develops the model using the system dynamics method. Grounded on the fundamental theories, the model incorporates nonlinear feedback relationships of interest rate, inflation, per capita income, terms of trade, and oil prices with the exchange rate.
Findings: The simulation results indicate the robustness of the model to mimic not only the long term past behavior of the exchange rate but also its ability to provide a reliable long-term forecast for the exchange rate. The model is portable and applies to any oil-exporting country after calibration.
Policy Implications: The study has practical implications for individuals, businesses, and the Government because they are all influenced by the exchange rate movements. Specifically, this model provides a useful tool for long term strategic financial planning of oil firms.
Originality: The study develops a model for exchange rate accounting for nonlinear feedback relationships among the variables.
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| first_indexed | 2024-03-07T14:04:35Z |
| format | Article |
| id | doaj.art-0d66d16dfb1b49fbb83e7ba601ae639a |
| institution | Directory Open Access Journal |
| issn | 2617-5770 |
| language | English |
| last_indexed | 2024-04-24T23:25:35Z |
| publishDate | 2020-07-01 |
| publisher | seisense |
| record_format | Article |
| series | SEISENSE Journal of Management |
| spelling | doaj.art-0d66d16dfb1b49fbb83e7ba601ae639a2024-03-16T00:23:57ZengseisenseSEISENSE Journal of Management2617-57702020-07-013410.33215/sjom.v3i4.367A System Dynamics Model Of Exchange Rate Determination And ForecastingAima Khan0University of Bergen, Norway Objective: The objective of this paper is to develop a model of exchange rate determination and forecasting to provide reasonable forecasts for the exchange rate to facilitate long-term investments. Design: The study develops the model using the system dynamics method. Grounded on the fundamental theories, the model incorporates nonlinear feedback relationships of interest rate, inflation, per capita income, terms of trade, and oil prices with the exchange rate. Findings: The simulation results indicate the robustness of the model to mimic not only the long term past behavior of the exchange rate but also its ability to provide a reliable long-term forecast for the exchange rate. The model is portable and applies to any oil-exporting country after calibration. Policy Implications: The study has practical implications for individuals, businesses, and the Government because they are all influenced by the exchange rate movements. Specifically, this model provides a useful tool for long term strategic financial planning of oil firms. Originality: The study develops a model for exchange rate accounting for nonlinear feedback relationships among the variables. https://journal.seisense.com/jom/article/view/367Exchange Ratessystem dynamicsfundamental factorsfeedback relationships |
| spellingShingle | Aima Khan A System Dynamics Model Of Exchange Rate Determination And Forecasting SEISENSE Journal of Management Exchange Rates system dynamics fundamental factors feedback relationships |
| title | A System Dynamics Model Of Exchange Rate Determination And Forecasting |
| title_full | A System Dynamics Model Of Exchange Rate Determination And Forecasting |
| title_fullStr | A System Dynamics Model Of Exchange Rate Determination And Forecasting |
| title_full_unstemmed | A System Dynamics Model Of Exchange Rate Determination And Forecasting |
| title_short | A System Dynamics Model Of Exchange Rate Determination And Forecasting |
| title_sort | system dynamics model of exchange rate determination and forecasting |
| topic | Exchange Rates system dynamics fundamental factors feedback relationships |
| url | https://journal.seisense.com/jom/article/view/367 |
| work_keys_str_mv | AT aimakhan asystemdynamicsmodelofexchangeratedeterminationandforecasting AT aimakhan systemdynamicsmodelofexchangeratedeterminationandforecasting |