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...

The purpose of this study is to determine an econometric model forecasting the nominal exchange rate between the Brazilian Real and the American Dollar. Monthly data from January, 1995 through February, 2001 is used. The Dickey-Fuller (DF) and Augmented Dickey Fuller (ADF) for the existence of a...

We investigate and construct forecasting models for the exchange rate of the Indonesian rupiah against the US dollar. Monthly data for three variables; exchange rate, interest rate and foreign reserves were employed in the Economic Forecasting Program (EFP) to obtain the forecasting results. The...

In this chapter, we analysing and forecasting the New Taiwanese Dollar against the US dollar. Forecasting models were tested using the three variables; exchange rate, money supply and Balance Remittance. Both VAR and VARMA models accurately predicted turning points and no false fluctuations were...

In this chapter, economic forecasting techniques were used to forecast the exchange rate of the New Taiwan (N.T.) dollar, given that there is a tolerable amount of favourable trade balance between Taiwan and the US. To test this monthly data for the economic variables; Taiwanese exchange rate...