ECONOMETRIC MODELS FOR DETERMING THE EXCHANGE RATE
Journal Title: Revista Romana de Statistica - Year 2012, Vol 60, Issue 4
Abstract
The simple econometric models for the exchange rate, according to recent researches, generates the forecasts with the highest degree of accuracy. This type of models (Simultaneous Equations Model, MA(1) Procedure, Model with lagged variables) is used to describe the evolution of the average exchange rate in Romanian in January 1991-March 2012 and to predict it on short run. The best forecasts, in terms of accuracy, on the forecasting horizon April-May 2012 were those based on a Simultaneous Equations Model that takes into account the Granger causality. An almost high degree of accuracy was gotten by combining the predictions based on MA(1) model with those based on the simultaneous equations model, when INV weighting scheme was applied (the forecasts are inversely weighted to their relative mean squared forecast error). The lagged variables Model provided the highest prediction errors. The importance of knowing the best exchange rate forecasts is related to the improvement of decision-making and the building of the monetary policy.
Authors and Affiliations
Mihaela BRATU
Keywords
Related Articles
- EP ID EP87003
- DOI -
- Views 281
- Downloads 0
Rules of Law that Removes the Effects of Invalidity under the New Civil Code
Nullity is a civil penalty retroactively abolishing a contract in violation of provisions The law provided for the conclusion available. However, there are situations in which, although the contract / legal document is v...
Evaluarea statistică a stadiului de convergenţă nominală a ratei inflaţiei în România
Convergenţa nominală este un proces care se defineşte prin armonizarea treptată, într-un grad relativ ridicat, a instituţiilor şi politicilor naţionale ale statelor membre cu cele ale UE, în sfera monetară şi financiară....
APRECIERI ŞI EVALUĂRI STATISTICE CU PRIVIRE LA DREPTURILE OMULUI
Articolul se axează pe datele şi informaţiile unei cercetări de teren întreprinse în rândul cetăţenilor din două oraşe importante ale României situate în regiuni istorice diferite – Ardeal şi Oltenia, având o populaţie c...
„Dincolo de PIB” - prin contabilitatea mediului
Pentru construirea unei dezvoltări economice sustenabile, ceea ce presupune un impact de mediu scăzut, sectoarele privat şi administraţia publică trebuie să identifice şi să implementeze instrumente active sau voluntare...
Theoretical Aspects Concerning the Use of the Markowitz Model in the Management of Financial Instruments Portfolios
Early attempts to develop a modern model for the assessment of performance of portfolios of instruments belong to American teacher Harry Markowitz. He has abandoned the classical approach of the analysis of financial inv...