Modeling And Forecasting Exchange-Rate Shocks

A. S. Andreou, George Zombanakis, S. D. Likothanassis and E. Georgakopoulos

MPRA Paper from University Library of Munich, Germany

Abstract: This paper considers the extent to which the application of neural networks methodology can be used in order to forecast exchange-rate shocks. Four major foreign currency exchange rates against the Greek Drachma as well as the overnight interest rate in the Greek market are employed in an attempt to predict the extent to which the local currency may be suffering an attack. The forecasting is extended to the estimation of future exchange rates and interest rates. The MLP proved to be highly successful in predicting the shocks, while exhange-rates and interest-rates forecasts with MLP and RBF optimized by a genetic algorithm resulted in good approximations.

Keywords: Exhange; Rates; Devaluation; Prediction (search for similar items in EconPapers)
JEL-codes: E37 F31 (search for similar items in EconPapers)
Date: 1998-03-06, Revised 1998-06-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Proceedings of the 60th BNP/Applied Econometrics Association Special Issue on Financial Instruments and Emerging Markets.1(1998): pp. 1-29

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:51539

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