EXCHANGE RATE USD/MXN FORECAST THROUGH ECONOMETRIC MODELS, TIME SERIES AND HOWMA OPERATORS

Ernesto LEON Castro (), Ezequiel AVILÉS Ochoa and Anna Maria GIL Lafuente
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Ernesto LEON Castro: Universidad de Occidente, México
Ezequiel AVILÉS Ochoa: Universidad de Occidente, México
Anna Maria GIL Lafuente: Universidad de Barcelona, España

ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2016, vol. 50, issue 4, 135-150

Abstract: This paper aims to provide models that can predict the exchange rate and generate future scenarios of this variable, this because exchange risk management has become a strategic activity of the corporate governance. Also the study aims to expand the uses of operators like Heavy Ordering Weight Moving Average (HOWMA) in different fields of economy and management. Design/methodology/approach. In this work three fundamental econometric models were used to forecast exchange rate USD/MXN, using 1994 to 2014 data, which are price index, interest rate and balance of payments. Additionally, two variables forecasting techniques were used; these are time series and HOWMA. Findings. Among the results it was found that both methods are effective in middle term forecast, the last one being the one that can introduce uncertainty, expectations of the economy and characteristics of the decider into the models, enabling a range of possible scenarios.

Keywords: Exchange rate forecast; Econometric models; Time Series; HOWMA operators. (search for similar items in EconPapers)
JEL-codes: C22 C51 C53 F31 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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