EconPapers    
Economics at your fingertips  
 

The role of technical indicators in exchange rate forecasting

Ekaterini Panopoulou () and Ioannis Souropanis

Journal of Empirical Finance, 2019, vol. 53, issue C, 197-221

Abstract: Forecasting exchange rates is a subject of wide interest to both academics and practitioners. We aim at contributing to this vivid research area by highlighting the role of both technical indicators and macroeconomic predictors in forecasting exchange rates. Employing monthly data ranging from January 1974 to December 2014 for six widely traded currencies, we show that both types of predictors provide valuable information about future currency movements. To efficiently summarize the information content in candidate predictors, we extract the principal components of each group of predictors. Our findings suggest that combining information from both technical indicators and macroeconomic variables significantly improves and stabilizes exchange rate forecasts versus using either type of information alone.

Keywords: Exchange rate predictability; Principal components; Forecast combination; Technical indicators; Macroeconomic fundamentals (search for similar items in EconPapers)
JEL-codes: C53 C58 F31 G17 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927539819300593
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:53:y:2019:i:c:p:197-221

DOI: 10.1016/j.jempfin.2019.07.004

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-08-26
Handle: RePEc:eee:empfin:v:53:y:2019:i:c:p:197-221