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)

Publisher: Routledge, part of the Taylor & Francis Group

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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.

Language: English

Document Type: Research article

Publication date: 1997-01-01

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