Forecasting exchange rates in transition economies: A comparison of multivariate time series models

Jesus Crespo Cuaresma and Jaroslava Hlouskova

Empirical Economics, 2004, vol. 29, issue 4, 787-801

Abstract: This article compares the accuracy of vector autoregressive (VAR), restricted vector autoregressive (RVAR), Bayesian vector autoregressive (BVAR), vector error correction (VEC) and Bayesian vector error correction (BVEC) models in forecasting the exchange rates for five Central and Eastern European currencies (Czech Koruna, Hungarian Forint, Polish Zloty, Slovak Koruna and Slovenian Tolar) against the Euro and the US dollar. Among the specifications composing this battery of multivariate time series models, those with the smallest prediction error still fail to reject the test of equality of forecasting accuracy against the random walk model in short-term predictions, with the exception of the Slovenian Tolar/Euro exchange rate. Copyright Springer-Verlag 2004

Keywords: Vector autoregression; cointegration; Bayesian methods; exchange rates; transition economies; C53; P33; C32 (search for similar items in EconPapers)
Date: 2004
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00181-004-0212-x (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:empeco:v:29:y:2004:i:4:p:787-801

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-004-0212-x

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().