Forecasting foreign exchange rates in developing economies
Authors: Bhawnani V.; Kadiyala K.R.
Source: Applied Economics, Volume 29, Number 1, 1 January 1997 , pp. 51-62(12)
Abstract:We investigate the ability of a variety of exchange rate models to forecast parallel exchange rates for developing economies. In contrast to earlier studies, which use actual values of the exogenous variables, we employ time series forecasts of the exogenous variables. An error correction version of a monetary model proposed by us, that incorporates the dynamics of both short-run and long-run adjustment processes, outperforms all other models that have been suggested earlier.
Document Type: Research article
Publication date: 1997-01-01