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Foreign Currency Prognostication: Diverse Tests for Germany

Author

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  • Augustine C. Arize
  • Charles J. Berendt
  • Giuliana Campanelli Andreopoulos
  • Ioannis N. Kallianiotis
  • John Malindretos

Abstract

This paper uses a large variety of different models and examines the predictive performance of these exchange rate models by applying parametric and non-parametric techniques. For forecasting, we will choose that predictor with the smallest root mean square forecast error (RMSE). The results show that the better models are in equations (3), (10), (17), and (18), although none gives a perfect forecast. At the end, error correction versions of the models will be fit so that plausible long-run elasticities can be imposed on the fundamental variables of each model.

Suggested Citation

  • Augustine C. Arize & Charles J. Berendt & Giuliana Campanelli Andreopoulos & Ioannis N. Kallianiotis & John Malindretos, 2017. "Foreign Currency Prognostication: Diverse Tests for Germany," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 8(3), pages 111-120, July.
  • Handle: RePEc:jfr:ijfr11:v:8:y:2017:i:3:p:111-120
    DOI: 10.5430/ijfr.v8n3p111
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    References listed on IDEAS

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    2. Sarno,Lucio & Taylor,Mark P., 2003. "The Economics of Exchange Rates," Cambridge Books, Cambridge University Press, number 9780521485845, October.
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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.

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