This paper examines the exchange rate predictability stemming from the equilibrium model of international financial adjustment developed by Gourinchas and Rey (2007). Using predictive variables that measure cyclical external imbalances for country pairs, we assess the ability of this model to...

Foreign exchange risk management is a new challenging area. After globalization, the perfection in exchange rate forecasting is very essential for hedging decisions. In this paper, an attempt has been made to estimate the parameters of Autoregressive Integrated Moving Average (ARIMA) and...

We construct factors from a cross section of exchange rates and use the idiosyncratic deviations from the factors to forecast. In a stylized data generating process, we show that such forecasts can be effective even if there is essentially no serial correlation in the univariate exchange rate...

This paper constructs factor-based fundamental exchange rates with independent component factors and then re-examines the superiority of factor models in out-predicting nominal exchange rates. By applying the panel data of 17 OECD countries over the period 1973-2011, this article finds that both...

This paper investigate the time series properties and predictability of daily percentage changes in the Pakistani rupee exchange rate with respect to the currencies of major trading partner country USA. The daily data is used for the time period of October 1988 to April 2012. In this study, we...

In this research, monthly forward exchange rates are evaluated for possible existence of time varying risk premia in Singapore forward foreign exchange rates against US dollar. The time varying risk premia in Singapore dollar is modeled using non-Gaussian signal plus noise models that encompass...

The study examined high volatile assets, specifically the currency exchange rate of the open financial market. Takes into consideration the five most traded paired currencies of the global financial market. And observed, generally, the data set of the unit currency exchange rate exhibit...

Estimating the exchange rate is considered a key tool for economic planning and reaching economic stability. This study aims to reach the best model for predicting exchange rates of Iraqi Dinar against the U.S. dollar in the period (2008-2017). For this purpose the following methods have been...