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A Multitude of Econometric Tests: Forecasting the Dutsch Guilder

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  • Augustine C. Arize
  • Ioannis N. Kallianiotis
  • Ebere Ume Kalu
  • John Malindretos
  • Moschos Scoullis

Abstract

This paper studies a diversity of exchange rate models, applies both parametric and nonparametric techniques to them, and examines said models¡¯ collective predictive performance. We shall choose the forecasting predictor with the smallest root mean square forecast error (RMSE); the empirical evidence for a better type of exchange rate model is in equation (34), although none of our evidence gives an optimal forecast. At the end, these models¡¯ error correction versions will be fit so that plausible long-run elasticities can be imposed on each model¡¯s fundamental variables.

Suggested Citation

  • Augustine C. Arize & Ioannis N. Kallianiotis & Ebere Ume Kalu & John Malindretos & Moschos Scoullis, 2017. "A Multitude of Econometric Tests: Forecasting the Dutsch Guilder," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(9), pages 94-101, September.
    • Handle: RePEc:ibn:ijefaa:v:9:y:2017:i:9:p:94-101
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    References listed on IDEAS

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    1. Sarno,Lucio & Taylor,Mark P., 2003. "The Economics of Exchange Rates," Cambridge Books, Cambridge University Press, number 9780521485845.
    2. Nikolaos Dritsakis, 2004. "Tourism as a Long-Run Economic Growth Factor: An Empirical Investigation for Greece Using Causality Analysis," Tourism Economics, , vol. 10(3), pages 305-316, September.
    3. Alan M. Taylor, 2002. "A Century Of Purchasing-Power Parity," The Review of Economics and Statistics, MIT Press, vol. 84(1), pages 139-150, February.
    4. Chinn, Menzie D. & Meese, Richard A., 1995. "Banking on currency forecasts: How predictable is change in money?," Journal of International Economics, Elsevier, vol. 38(1-2), pages 161-178, February.
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    Cited by:

    1. Augustine C. Arize & Ioannis N. Kallianiotis & John Malindretos & Alex Panayides & Demetri Tsanacas, 2018. "A Comparison of the Current Account and the Monetary Theories of Exchange Rate Determination," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(2), pages 102-107, February.
    2. Ioannis N. Kallianiotis & Karen Bianchi & Augustine C. Arize & John Malindretos & Ikechukwu Ndu, 2020. "Financial Assets, Expected Return and Risk, Speculation, Uncertainty, and Exchange Rate Determination," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 3-30.
    3. Augustine C. Arize & Ioannis N. Kallianiotis & John Malindretos & Alexis Panayides & Cheickna Sylla, 2021. "An Econometric Study of Forecasting French Foreign Exchange Rates," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 11(1), pages 3-14.

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    More about this item

    Keywords

    efficiency; exchange rate determination; exchange rate policy; forecasting; foreign exchange;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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