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Analysing of exchange rate and gross domestic product (GDP) by adaptive neuro fuzzy inference system (ANFIS)

Srdjan Jovic, Jasmina Smigic Miladinovic, Radmila Micic, Sanja Markovic and Goran Rakic

Physica A: Statistical Mechanics and its Applications, 2019, vol. 513, issue C, 333-338

Abstract: In this paper was investigated the effect of exchange rate pass-through (ERPT) into aggregate import prices. The results shown in the long run pass-through was not observed. The results of our research confirm the results of previous investigations according to which pass-through is somewhat higher in transition countries than in developed ones and the pass-through degree is declining. Afterwards exchange rate effect on gross domestic product (GDP) was investigated by adaptive neuro fuzzy inference system (ANFIS). Dataset was collected from EUROSTAT database for 37 countries. The dataset was divided into two sets, for training and for testing of the ANFIS model. The main goal was to predict GDP in relation to exchange rate. ANFIS model was created by three Bell shaped membership functions since it was the best model according to the obtained results. Linear membership functions was used for output. Results shown that the ANFIS model can be used for GDP prediction based on exchange rate values.

Keywords: Exchange rate; Gross domestic product; ANFIS (search for similar items in EconPapers)
Date: 2019
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Handle: RePEc:eee:phsmap:v:513:y:2019:i:c:p:333-338