Exchange Rate and its Forecasting: Market-Based Forecasting and Forecasting with the Use of Currency Betas (βS)
Journal Title: Journal of Economics, Finance and Management Studies - Year 2022, Vol 5, Issue 06
Abstract
This paper is using the market-based and the currency beta (β) theories of exchange rate forecasting. It is testing empirically these theories by using data, spot and forward rates, from seven different countries with respect the U.S., as our domestic country. The countries are: U.S. with Euro-zone, Mexico, Canada, U.K., Switzerland, Japan, and Australia. The results show that both methods, the market-based forecasting and the currency betas are giving very good forecasting for these seven exchange rates by minimizing the standard error of the regression (SER) and the root mean squared error (RMSE). Of course, uncertainty exits always in the forecasting of any economic variables, due to unanticipated public policies (monetary, fiscal, and trade) and other “innovations” in our financial markets and new philosophies in our way of living.
Authors and Affiliations
Dr. Ioannis N. Kallianiotis
Keywords
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- EP ID EP708308
- DOI 10.47191/jefms/v5-i6-25
- Views 89
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