This paper evaluates aggregated survey forecasts with forecast horizons of 3, 12, and 24 months for the exchange rates of the Chinese yuan, the Hong Kong dollar, the Japanese yen, and the Singapore dollar vis-à-vis the US dollar using common forecast accuracy measures. Additionally, the...

Central banks, private banks, statistical agencies and international organizations such as the IMF and OECD typically use information about the exchange rate some weeks before the publication date as the basis for their exchange rate forecasts. In this paper, we test if forecasts can be made...

SEMIFAR models introduced in Beran (1999) provide a semiparametric modelling framework that enables the data analyst to separate deterministic and stochastic trends as well as short- and long-memory components in an observed time series. A correct distinction between these components, and in...

This paper presents forecasts of currency in circulation prepared for liquidity management at the Central Bank of Nigeria. Forecasts were produced using ARIMA, ARIMA with structural variables, VAR and VEC models. The performance of the forecasts was then evaluated under a rolling forecast...

This study employs measures of variability and three GARCH models to comparatively explore the behaviour of exchange rate volatility of the currencies in the West African Monetary Zone (WAMZ) for the period 1960M01-2011M12. The study selects a sub-sample period of 2000M1 to 2011M12 to...

With the spectre of the Euro crisis hunting embryonic monetary unions, we use a dynamic model of a small open economy to analyze REERs imbalances and examine whether the movements in the aggregate real exchange rates are consistent with the underlying macroeconomic fundamentals in the proposed...

The study investigates the effect of changes in the exchange rate on output growth and inflation in the WAMZ economies. It formulates an open-economy general equilibrium model which highlights the interrelationships among real GDP growth, inflation, exchange rate depreciation/ appreciation and...