Skip to main content

Forecasting foreign exchange rates with an intrinsically nonlinear dynamic speed of adjustment model

Buy Article:

$55.00 plus tax (Refund Policy)

Abstract:

Forecasting foreign exchange rates is an important but difficult process; therefore, it is important to use a superior forecasting model. The paper takes up this criterion and proposes to describe and forecast foreign exchange rates by developing an intrinsically nonlinear model with variable and dynamic speeds of adjustment. It is found that the speed of adjusting the random (or expected) to the equilibrium rate is very slow, implying that fiscal policy (statistically insignificat) and monetary policy (statistically significant) may be ineffective to induce changes in the adjustment speed. We also find that the nonlinear dynamic model improves forecasting performance, implying that nonlinearities in the sense of functional forms are exploitable for improved point forecasting of foreign exchange rates.

Document Type: Research Article

DOI: https://doi.org/10.1080/000368498325822

Publication date: 1998-03-01

More about this publication?
  • Access Key
  • Free content
  • Partial Free content
  • New content
  • Open access content
  • Partial Open access content
  • Subscribed content
  • Partial Subscribed content
  • Free trial content
Cookie Policy
X
Cookie Policy
Ingenta Connect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more