Exchange Rate Models and the Management of Forex Losses in Ghana: Modelling Exchange Rate Volatilities for Businesses
Author
Abstract
Suggested Citation
DOI: 10.1177/0258042X241233043
Download full text from publisher
References listed on IDEAS
- Salachas, Evangelos N. & Laopodis, Nikiforos T. & Kouretas, Georgios P., 2017. "The bank-lending channel and monetary policy during pre- and post-2007 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 176-187.
- Barbara Rossi, 2013.
"Exchange Rate Predictability,"
Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
- Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
- Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona School of Economics.
- Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
- Lucio Sarno & Giorgio Valente & Mark E. Wohar, 2004.
"Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes,"
Economic Inquiry, Western Economic Association International, vol. 42(2), pages 179-193, April.
- Sarno, Lucio & Valente, Giorgio & Wohar, Mark E, 2003. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," CEPR Discussion Papers 3983, C.E.P.R. Discussion Papers.
- Sarno, Lucio & Wohar, Mark, 2003. "Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes," Computing in Economics and Finance 2003 310, Society for Computational Economics.
- Pesaran, M Hashem & Timmermann, Allan, 1992.
"A Simple Nonparametric Test of Predictive Performance,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 561-565, October.
- Pesaran, M.H. & Timmermann, A., 1990. "A Simple, Non-Parametric Test Of Predictive Performance," Cambridge Working Papers in Economics 9021, Faculty of Economics, University of Cambridge.
- Pesaran, M.H. & Timmermann, A., 1990. "A Simple Non-Parametric Test Of Predictive Performance," Papers 29, California Los Angeles - Applied Econometrics.
- Mohamed Safouane Ben Aissa & Mohamed Boutahar & Jamel Jouini, 2004. "Bai and Perron's and spectral density methods for structural change detection in the US inflation process," Applied Economics Letters, Taylor & Francis Journals, vol. 11(2), pages 109-115.
- Jushan Bai & Pierre Perron, 1998.
"Estimating and Testing Linear Models with Multiple Structural Changes,"
Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques.
- Carriero, A. & Kapetanios, G. & Marcellino, M., 2009.
"Forecasting exchange rates with a large Bayesian VAR,"
International Journal of Forecasting, Elsevier, vol. 25(2), pages 400-417.
- Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," CEPR Discussion Papers 7008, C.E.P.R. Discussion Papers.
- Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," Working Papers 634, Queen Mary University of London, School of Economics and Finance.
- A. Carriero & G. Kapetanios & M. Marcellino, 2008. "Forecasting Exchange Rates with a Large Bayesian VAR," Economics Working Papers ECO2008/33, European University Institute.
- Maravall, Agustin, 1983. "An Application of Nonlinear Time Series Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(1), pages 66-74, January.
- Jushan Bai & Pierre Perron, 2003. "Critical values for multiple structural change tests," Econometrics Journal, Royal Economic Society, vol. 6(1), pages 72-78, June.
- Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia, 2005.
"Empirical exchange rate models of the nineties: Are any fit to survive?,"
Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1150-1175, November.
- Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia Pascual, 2002. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," NBER Working Papers 9393, National Bureau of Economic Research, Inc.
- Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia-Pascual, 2005. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Working Papers 122005, Hong Kong Institute for Monetary Research.
- Cheung, Yin-Wong & Chinn, Menzie David & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series qt12z9x4c5, Department of Economics, UC Santa Cruz.
- Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Center for International Economics, Working Paper Series qt5fc508pt, Center for International Economics, UC Santa Cruz.
- Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series qt5fc508pt, Department of Economics, UC Santa Cruz.
- Yin-Wong Cheung & Antonio I Garcia Pascual & Menzie David Chinn, 2004. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," IMF Working Papers 2004/073, International Monetary Fund.
- Bruce Hansen, 1999. "Testing for Linearity," Journal of Economic Surveys, Wiley Blackwell, vol. 13(5), pages 551-576, December.
- Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
- Hansen,B.E., 1999. "Testing for linearity," Working papers 7, Wisconsin Madison - Social Systems.
- Tanya Molodtsova & David H. Papell, 2013.
"Taylor Rule Exchange Rate Forecasting during the Financial Crisis,"
NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 9(1), pages 55-97.
- Tanya Molodtsova & David H. Papell, 2012. "Taylor Rule Exchange Rate Forecasting during the Financial Crisis," NBER Chapters, in: NBER International Seminar on Macroeconomics 2012, pages 55-97, National Bureau of Economic Research, Inc.
- Tanya Molodtsova & David Papell, 2012. "Taylor Rule Exchange Rate Forecasting During the Financial Crisis," NBER Working Papers 18330, National Bureau of Economic Research, Inc.
- Lee, Hsiu-Yun & Chen, Show-Lin, 2006. "Why use Markov-switching models in exchange rate prediction?," Economic Modelling, Elsevier, vol. 23(4), pages 662-668, July.
- Emmanuel Numapau Gyamfi & Kwabena A. Kyei, 2016. "Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa," International Journal of Economics and Financial Issues, Econjournals, vol. 6(3), pages 1194-1199.
- Mr. Jaewoo Lee & Mr. H. Takizawa & Mr. David Hauner, 2011. "In Which Exchange Rate Models Do Forecasters Trust?," IMF Working Papers 2011/116, International Monetary Fund.
- Ince, Onur & Molodtsova, Tanya, 2017. "Rationality and forecasting accuracy of exchange rate expectations: Evidence from survey-based forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 47(C), pages 131-151.
- Paula Hill, 2006. "Ownership Structure and IPO Underpricing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(1-2), pages 102-126.
- Leitch, Gordon & Tanner, J Ernest, 1991. "Economic Forecast Evaluation: Profits versus the Conventional Error Measures," American Economic Review, American Economic Association, vol. 81(3), pages 580-590, June.
- Paula Hill, 2006. "Ownership Structure and IPO Underpricing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 33(1‐2), pages 102-126, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ince, Onur & Molodtsova, Tanya & Papell, David H., 2016.
"Taylor rule deviations and out-of-sample exchange rate predictability,"
Journal of International Money and Finance, Elsevier, vol. 69(C), pages 22-44.
- Onur Ince & Tanya Molodtsova & David H. Papell, 2015. "Taylor Rule Deviations and Out-of-Sample Exchange Rate Predictability," Working Papers 15-02, Department of Economics, Appalachian State University.
- David G. McMillan, 2017. "Stock return predictability: the role of inflation and threshold dynamics," International Review of Applied Economics, Taylor & Francis Journals, vol. 31(3), pages 357-375, May.
- Barbara Rossi, 2013.
"Exchange Rate Predictability,"
Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
- Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona School of Economics.
- Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
- Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
- Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
- Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016.
"Exchange rate predictability in a changing world,"
Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
- Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "Exchange Rate Predictability in a Changing World," MPRA Paper 53684, University Library of Munich, Germany.
- Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Papers 2014_03, Business School - Economics, University of Glasgow.
- Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "Exchange Rate Predictability in a Changing World," SIRE Discussion Papers 2014-021, Scottish Institute for Research in Economics (SIRE).
- Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Paper series 06_14, Rimini Centre for Economic Analysis.
- Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Papers 1403.0627, arXiv.org.
- David Alan Peel & Pantelis Promponas, 2016. "Forecasting the nominal exchange rate movements in a changing world. The case of the U.S. and the U.K," Working Papers 144439514, Lancaster University Management School, Economics Department.
- Syllignakis, Manolis N. & Kouretas, Georgios P., 2011. "Markov-switching regimes and the monetary model of exchange rate determination: Evidence from the Central and Eastern European markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 707-723.
- Martin McCarthy, Stephen Snudden, 2024. "Forecasts of Period-Average Exchange Rates: New Insights from Real-Time Daily Data," LCERPA Working Papers jc0148, Laurier Centre for Economic Research and Policy Analysis, revised Oct 2024.
- Inoue, Atsushi & Jin, Lu & Rossi, Barbara, 2017.
"Rolling window selection for out-of-sample forecasting with time-varying parameters,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 55-67.
- Atsushi Inoue & Lu Jin & Barbara Rossi, 2014. "Rolling window selection for out-of-sample forecasting with time-varying parameters," Economics Working Papers 1435, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2016.
- Lu Jin & Atsushi Inoue & Barbara Rossi, 2015. "Rolling Window Selection for Out-of-Sample Forecasting with Time-Varying Parameters," Working Papers 768, Barcelona School of Economics.
- Kim, Young Min & Lee, Seojin, 2020. "Exchange rate predictability: A variable selection perspective," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 117-134.
- Jaehun Chung & Yongmiao Hong, 2013. "Model-Free Evaluation of Directional Predictability in Foreign Exchange," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Pincheira-Brown, Pablo & Neumann, Federico, 2020.
"Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile,"
Finance Research Letters, Elsevier, vol. 37(C).
- Pincheira, Pablo & Neumann, Federico, 2018. "Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile," MPRA Paper 90432, University Library of Munich, Germany.
- Sarthak Behera & Hyeongwoo Kim, 2019. "Forecasting Dollar Real Exchange Rates and the Role of Real Activity Factors," Auburn Economics Working Paper Series auwp2019-04, Department of Economics, Auburn University.
- Kelly Burns, 2016. "A Reconsideration of the Meese-Rogoff Puzzle: An Alternative Approach to Model Estimation and Forecast Evaluation," Multinational Finance Journal, Multinational Finance Journal, vol. 20(1), pages 41-83, March.
- Joscha Beckmann & Dionysius Glycopantis & Keith Pilbeam, 2018. "The dollar–euro exchange rate and monetary fundamentals," Empirical Economics, Springer, vol. 54(4), pages 1389-1410, June.
- Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga, 2020. "Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings," CREATES Research Papers 2020-19, Department of Economics and Business Economics, Aarhus University.
- repec:wyi:journl:002068 is not listed on IDEAS
- Firat Melih Yilmaz & Ozer Arabaci, 2021. "Should Deep Learning Models be in High Demand, or Should They Simply be a Very Hot Topic? A Comprehensive Study for Exchange Rate Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 217-245, January.
- Akosah, Nana Kwame & Alagidede, Imhotep Paul & Schaling, Eric, 2020. "Testing for asymmetry in monetary policy rule for small-open developing economies: Multiscale Bayesian quantile evidence from Ghana," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
- Gürkaynak, Refet S. & Kısacıkoğlu, Burçin & Lee, Sang Seok, 2022.
"Exchange rate and inflation under weak monetary policy: Turkey verifies theory,"
CFS Working Paper Series
679, Center for Financial Studies (CFS).
- Refet S. Gürkaynak & Burcin Kisacikoglu & Sang Seok Lee, 2022. "Exchange Rate and Inflation under Weak Monetary Policy: Turkey Verifies Theory," CESifo Working Paper Series 9748, CESifo.
- Gürkaynak, Refet & Kısacıkoğlu, Burçin & Lee, Sang Seok, 2022. "Exchange Rate and Inflation under Weak Monetary Policy: Turkey Verifies Theory," CEPR Discussion Papers 17248, C.E.P.R. Discussion Papers.
- Dal Bianco, Marcos & Camacho, Maximo & Perez Quiros, Gabriel, 2012.
"Short-run forecasting of the euro-dollar exchange rate with economic fundamentals,"
Journal of International Money and Finance, Elsevier, vol. 31(2), pages 377-396.
- Marcos dal Bianco & Maximo Camacho & Gabriel Perez-Quiros, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Working Papers 1203, Banco de España.
- Maximo Camacho & Marcos Dal Bianco & Gabriel Perez Quiros, 2012. "Short-run forecasting of the euro-dollar exchange rate with economic fundamentals," Working Papers 1201, BBVA Bank, Economic Research Department.
More about this item
Keywords
Ghana; exchange rate; ARIMA models; SETAR model; VAR models; forecasting accuracy;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sae:manlab:v:49:y:2024:i:4:p:679-703. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: SAGE Publications (email available below). General contact details of provider: http://www.xlri.ac.in/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.