Prognostications With Applications to the British Pound

Augustine C. Arize, John Malindretos, Tao Guo, Demetri Tsanacas and Lawrence Verzani

International Journal of Financial Research, 2019, vol. 10, issue 4, 143-151

Abstract: This paper scrutinizes several exchange rate models, considers the effectiveness of their predictive performance after applying both parametric and nonparametric techniques to them, and chooses the forecasting predictor with the smallest root mean square forecast error (RMSE). Equation (34) displays empirical evidence consistent with a better example of an exchange rate model, although none of the evidence gives us a completely satisfactory forecast. In the end, the models¡¯ error correction versions will be fit so that plausible long-run elasticities can be imposed on each model¡¯s fundamental variables.

Keywords: efficiency; exchange rate determination; exchange rate policy; forecasting; foreign exchange (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:10:y:2019:i:4:p:143-151

DOI: 10.5430/ijfr.v10n4p143

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