Foreign Currency Prognostication: Diverse Tests for Germany

Augustine C. Arize, Charles J. Berendt, Giuliana Campanelli Andreopoulos, Ioannis N. Kallianiotis and John Malindretos

International Journal of Financial Research, 2017, vol. 8, issue 3, 111-120

Abstract: This paper uses a large variety of different models and examines the predictive performance of these exchange rate models by applying parametric and non-parametric techniques. For forecasting, we will choose that predictor with the smallest root mean square forecast error (RMSE). The results show that the better models are in equations (3), (10), (17), and (18), although none gives a perfect forecast. At the end, error correction versions of the models will be fit so that plausible long-run elasticities can be imposed on the fundamental variables of each model.

Keywords: efficiency; exchange rate determination; exchange rate policy; forecasting; foreign exchange (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:8:y:2017:i:3:p:111-120

DOI: 10.5430/ijfr.v8n3p111

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