Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market
Author: International Monetary Fund
Publisher: International Monetary Fund
Total Pages: 32
Release: 1990-05-01
Genre: Business & Economics
ISBN: 1451975007
GET BOOK

Download Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market Book in PDF, Epub and Kindle

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.

Foreign Exchange Rates

Foreign Exchange Rates
Author: Arif Orçun Söylemez
Publisher: Routledge
Total Pages: 83
Release: 2021-02-07
Genre: Business & Economics
ISBN: 1000357317
GET BOOK

Download Foreign Exchange Rates Book in PDF, Epub and Kindle

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.

Foreign-Exchange-Rate Forecasting with Artificial Neural Networks

Foreign-Exchange-Rate Forecasting with Artificial Neural Networks
Author: Lean Yu
Publisher: Springer Science & Business Media
Total Pages: 323
Release: 2010-02-26
Genre: Business & Economics
ISBN: 038771720X
GET BOOK

Download Foreign-Exchange-Rate Forecasting with Artificial Neural Networks Book in PDF, Epub and Kindle

This book focuses on forecasting foreign exchange rates via artificial neural networks (ANNs), creating and applying the highly useful computational techniques of Artificial Neural Networks (ANNs) to foreign-exchange rate forecasting. The result is an up-to-date review of the most recent research developments in forecasting foreign exchange rates coupled with a highly useful methodological approach to predicting rate changes in foreign currency exchanges.

Exchange Rate Forecasting: Techniques and Applications

Exchange Rate Forecasting: Techniques and Applications
Author: I. Moosa
Publisher: Springer
Total Pages: 420
Release: 2016-02-05
Genre: Business & Economics
ISBN: 0230379001
GET BOOK

Download Exchange Rate Forecasting: Techniques and Applications Book in PDF, Epub and Kindle

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.

Exchange Rate Modelling

Exchange Rate Modelling
Author: Ronald MacDonald
Publisher: Springer Science & Business Media
Total Pages: 226
Release: 2013-04-17
Genre: Business & Economics
ISBN: 1475729979
GET BOOK

Download Exchange Rate Modelling Book in PDF, Epub and Kindle

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.

Forecasting the exchange rate of currencies. A panel data approach

Forecasting the exchange rate of currencies. A panel data approach
Author: Sajjad Hossine Sharif
Publisher: GRIN Verlag
Total Pages: 15
Release: 2017-01-16
Genre: Business & Economics
ISBN: 3668380651
GET BOOK

Download Forecasting the exchange rate of currencies. A panel data approach Book in PDF, Epub and Kindle

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 Determination

Exchange Rate Determination
Author: Michael Rosenberg
Publisher: McGraw Hill Professional
Total Pages: 300
Release: 2003-05-19
Genre: Business & Economics
ISBN: 9780071415019
GET BOOK

Download Exchange Rate Determination Book in PDF, Epub and Kindle

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.

The Microstructure of Foreign Exchange Markets

The Microstructure of Foreign Exchange Markets
Author: Jeffrey A. Frankel
Publisher: University of Chicago Press
Total Pages: 358
Release: 2009-05-15
Genre: Business & Economics
ISBN: 0226260232
GET BOOK

Download The Microstructure of Foreign Exchange Markets Book in PDF, Epub and Kindle

The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.