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

$53.17 plus tax (Refund Policy)

Buy Article:


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


Publication date: March 1, 1998

More about this publication?
Related content

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
Cookie Policy
ingentaconnect 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