Forecasting exchange rates is a variable that preoccupies economists, businesses and governments, being more critical to more people than any other variable. In Exchange Rate Forecasting the author sets out to provide a concise survey of the techniques of forecasting - bringing together the various forecasting methods and applying them to the exchange rate in a highly accessible and readable manner. Highly practical in approach, the book provides an understanding of the techniques of forecasting with an emphasis on its applications and use in business decision-making, such as hedging, speculation, investment, financing and capital budgeting. In addition, the author also considers recent developments in the field, notably neural networks and chaos, again, with easy-to-understand explanations of these "rocket science" areas. The practical approach to forecasting is also reflected in the number of examples that pepper the text, whilst descriptions of some of the software packages that are used in practice to generate forecasts are also provided.
This book focuses on forecasting foreign exchange rates via artificial neural networks (ANNs), creating and applying the highly useful computational techniques of Artificial Neural Networks (ANNs) to foreign-exchange rate forecasting. The result is an up-to-date review of the most recent research developments in forecasting foreign exchange rates coupled with a highly useful methodological approach to predicting rate changes in foreign currency exchanges.
With the internationalization of Renminbi (RMB), the gradual liberalization of China's capital account and the recent reform of the RMB pricing mechanism, the RMB exchange rate has been volatile. This book examines how we can forecast exchange rate reliably. It explains how we can do so through a new methodology for exchange rate forecasting. The book also analyzes the dynamic relationship between exchange rate and the exchange rate data decomposition and integration, the domestic economic situation, the international economic situation and the public’s expectations and how these interactions would affect the exchange rate. The book also explains why this comprehensive integrated approach is the best model for optimizing accuracy in exchange rate forecasting.
Models and Strategies for Exchange Rate ForecastingMichael R. RosenbergGetting an accurate exchange rate is critical for any company doing business in today's global economy. Exchange Rate Determination--written by the number one-ranked foreign exchange team in the world--examines the methods used to accurately and profitably forecast foreign exchange rates. This hands-on guidebook uses extensive charts and tables to examine currency option markets, productivity trends and exchange rates; technical analysis methods to improve currency forecasting accuracy; and more.
This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated estimates using survey data. Here we follow most of the theoretical and empirical literature in acting as if all market participants share the same expectation. The second half then addresses the possibility of heterogeneous expectations, particularly the distinction between “chartists” and “fundamentalists,” and the implications for trading in the foreign exchange market and for the formation of speculative bubbles.
The recent financial crisis has troubled the US, Europe, and beyond, and is indicative of the integrated world in which we live. Today, transactions take place with the use of foreign currencies, and their values affect the nations' economies and their citizens' welfare. Exchange Rates and International Financial Economics provides readers with the historic, theoretical, and practical knowledge of these relative prices among currencies. While much of the previous work on the topic has been simply descriptive or theoretical, Kallianiotis gives a unique and intimate understanding of international exchange rates and their place in an increasingly globalized world.
This text explains the methods and aspects of exchange rate forecasting, including purchasing power, parity, interest rate differentials and technical analysis. Guidelines for reducing risk with forecasting strategies are included, as are techniques for co
Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
This book discusses capital markets and investment decision-making, focusing on the globalisation of the world economy. It presents empirically tested results from Indian and Southwest Asian stock markets and offers valuable insights into the working of Indian capital markets. The book is divided into four parts: the first part examines capital-market operations, particularly clearance and settlement processes, and stock market operations. The second part then addresses the functioning of global markets and investment decisions; more specifically it explores calendar anomalies, dependencies, overreaction effect, causality effect and stock returns volatility in South Asia, U.S. and global stock markets as a whole. Part three covers issues relating to capital structure, values of firm and investment strategies. Lastly, part four discusses emerging issues in finance like behavioral finance, Islamic finance, and international financial reporting standards. The book fills the gap in the existing finance literature and helps fund managers and individual investors make more accurate investment decisions.
The NBER Macroeconomics Annual provides a forum for important debates in contemporary macroeconomics and major developments in the theory of macroeconomic analysis and policy that include leading economists from a variety of fields. The papers and accompanying discussions in NBER Macroeconomics Annual 2007 address exchange-rate models; implications of credit market frictions; cyclical budgetary policy and economic growth; the impacts of shocks to government spending on consumption, real wages, and employment; dynamic macroeconomic models; and the role of cyclical entry of new firms and products on the nature of business-cycle fluctuations and on the effects of monetary policy.
