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Exchange Rate Usd/Mxn Forecast Through Econometric Models, Time Series And Howma Operators

Author

Listed:
  • Ernesto LEON CASTRO

    (Universidad de Occidente, México)

  • Ezequiel AVILÉS OCHOA

    (Universidad de Occidente, México)

  • Anna Maria GIL LAFUENTE

    (Universidad de Barcelona, España)

Abstract

This paper aims to provide models that can predict the exchange rate and generate future scenarios of this variable, this because exchange risk management has become a strategic activity of the corporate governance. Also the study aims to expand the uses of operators like Heavy Ordering Weight Moving Average (HOWMA) in different fields of economy and management. Design/methodology/approach. In this work three fundamental econometric models were used to forecast exchange rate USD/MXN, using 1994 to 2014 data, which are price index, interest rate and balance of payments. Additionally, two variables forecasting techniques were used; these are time series and HOWMA. Findings. Among the results it was found that both methods are effective in middle term forecast, the last one being the one that can introduce uncertainty, expectations of the economy and characteristics of the decider into the models, enabling a range of possible scenarios.

Suggested Citation

  • Ernesto LEON CASTRO & Ezequiel AVILÉS OCHOA & Anna Maria GIL LAFUENTE, 2016. "Exchange Rate Usd/Mxn Forecast Through Econometric Models, Time Series And Howma Operators," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(4), pages 135-150.
    • Handle: RePEc:cys:ecocyb:v:50:y:2016:i:4:p:135-150
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    References listed on IDEAS

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    Cited by:

    1. Luis F. Espinoza-Audelo & Ernesto León-Castro & Marycruz Olazabal-Lugo & José M. Merigó & Anna M. Gil-Lafuente, 2020. "Using Ordered Weighted Average for Weighted Averages Inflation," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 601-628, April.
    2. Blanco-Mesa, Fabio & León-Castro, Ernesto & Acosta-Sandoval, Alejandra, 2020. "Toma de Decisiones Estratégicas en Entornos Inciertos || Strategic Decision-Making in Uncertain Environments," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 30(1), pages 79-96, December.
    3. Martha Flores‐Sosa & Ezequiel Avilés‐Ochoa & José M. Merigó, 2022. "Exchange rate and volatility: A bibliometric review," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1419-1442, January.

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    More about this item

    Keywords

    Exchange rate forecast; Econometric models; Time Series; HOWMA operators.;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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