Forecasting the Polish Zloty with Non-Linear Models

Michał Rubaszek, Paweł Skrzypczyński and Grzegorz Koloch

Central European Journal of Economic Modelling and Econometrics, 2010, vol. 2, issue 2, 151-167

Abstract: The literature on exchange rate forecasting is vast. Many researchers have tested whether implications of theoretical economic models or the use of advanced econometric techniques can help explain future movements in exchange rates. The results of the empirical studies for major world currencies show that forecasts from a naive random walk tend to be comparable or even better than forecasts from more sophisticated models. In the case of the Polish zloty, the discussion in the literature on exchange rate forecasting is scarce. This article fills this gap by testing whether non-linear time series models are able to generate forecasts for the nominal exchange rate of the Polish zloty that are more accurate than forecasts from a random walk. Our results confirm the main findings from the literature, namely that it is dificult to outperform a naive random walk in exchange rate forecasting contest.

Keywords: exchange rate forecasting; Polish zloty; Markov-switching models; artificial neural networks (search for similar items in EconPapers)
JEL-codes: C22 C45 C53 F31 G17 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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Working Paper: Forecasting the Polish zloty with non-linear models (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:2:y:2010:i:4:p:151-167

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