A Vector Autoregressive Forecasting Model of The US$/$A Exchange Rate

Lindsay I. Hogan, Peter J. Urban and V. V. Anh
Additional contact information
Lindsay I. Hogan: Bureau of Agricultural Economics, Canberra.
Peter J. Urban: Bureau of Agricultural Economics, Canberra.
V. V. Anh: Queensland Institute of Technology, Brisbane.

Australian Journal of Management, 1985, vol. 10, issue 2, 47-65

Abstract: A forecasting model of the US$/$A exchange rate is derived through the application of vector autoregression (VAR) techniques. The major theoretical models of exchange rate determination are reviewed to identify relevant variables to include in the VAR model. For the within-sample period of September 1974 to May 1983, the VAR forecasts are found to be clearly superior to the naive no-charge extrapolated forecasts. However, the position is reversed when the out-of-sample forecasts are examined.

Keywords: VECTOR AUTOREGRESSIVE MODEL; EXCHANGE RATE; AUSTRALIA; USA (search for similar items in EconPapers)
Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:10:y:1985:i:2:p:47-65

DOI: 10.1177/031289628501000203

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