Modeling and Forecasting Exchange Rates
This paper investigates models for the euro exchange rate against the currencies of Denmark, Poland, theUnited States, and the United Kingdom. The objective of this paper is to compare different methods of modeling andout-of-sample forecasting. One of the techniques is cointegration relation, which...
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| Format: | Article |
| Language: | English |
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Lietuvos statistikų sąjunga, Lietuvos statistikos departamentas
2016-12-01
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| Series: | Lithuanian Journal of Statistics |
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| Online Access: | https://www.journals.vu.lt/statisticsjournal/article/view/13864 |
| _version_ | 1818354119320010752 |
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| author | Jovita Gudan |
| author_facet | Jovita Gudan |
| author_sort | Jovita Gudan |
| collection | DOAJ |
| description |
This paper investigates models for the euro exchange rate against the currencies of Denmark, Poland, theUnited States, and the United Kingdom. The objective of this paper is to compare different methods of modeling andout-of-sample forecasting. One of the techniques is cointegration relation, which is implemented through a vector errorcorrection model. The existence of cointegration supports the long-run relationship between the nominal exchange rateand a number of fundamental variables. The evidence presented in this paper shows that a simple multivariate randomwalk model tends to have superior predictive performance, compared to other exchange rate models, for a period of lessthan one year.
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| first_indexed | 2024-12-13T19:20:21Z |
| format | Article |
| id | doaj.art-92cb271d6b2e4ee8913df298c71ee403 |
| institution | Directory Open Access Journal |
| issn | 1392-642X 2029-7262 |
| language | English |
| last_indexed | 2024-12-13T19:20:21Z |
| publishDate | 2016-12-01 |
| publisher | Lietuvos statistikų sąjunga, Lietuvos statistikos departamentas |
| record_format | Article |
| series | Lithuanian Journal of Statistics |
| spelling | doaj.art-92cb271d6b2e4ee8913df298c71ee4032022-12-21T23:34:10ZengLietuvos statistikų sąjunga, Lietuvos statistikos departamentasLithuanian Journal of Statistics1392-642X2029-72622016-12-0155110.15388/LJS.2016.13864Modeling and Forecasting Exchange RatesJovita Gudan0Vilnius University, Lithuania This paper investigates models for the euro exchange rate against the currencies of Denmark, Poland, theUnited States, and the United Kingdom. The objective of this paper is to compare different methods of modeling andout-of-sample forecasting. One of the techniques is cointegration relation, which is implemented through a vector errorcorrection model. The existence of cointegration supports the long-run relationship between the nominal exchange rateand a number of fundamental variables. The evidence presented in this paper shows that a simple multivariate randomwalk model tends to have superior predictive performance, compared to other exchange rate models, for a period of lessthan one year. https://www.journals.vu.lt/statisticsjournal/article/view/13864exchange raterandom walkvector error correction modelforecast |
| spellingShingle | Jovita Gudan Modeling and Forecasting Exchange Rates Lithuanian Journal of Statistics exchange rate random walk vector error correction model forecast |
| title | Modeling and Forecasting Exchange Rates |
| title_full | Modeling and Forecasting Exchange Rates |
| title_fullStr | Modeling and Forecasting Exchange Rates |
| title_full_unstemmed | Modeling and Forecasting Exchange Rates |
| title_short | Modeling and Forecasting Exchange Rates |
| title_sort | modeling and forecasting exchange rates |
| topic | exchange rate random walk vector error correction model forecast |
| url | https://www.journals.vu.lt/statisticsjournal/article/view/13864 |
| work_keys_str_mv | AT jovitagudan modelingandforecastingexchangerates |