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Modeling And Forecasting Exchange-Rate Shocks

Author

Listed:
  • Andreou, A. S.
  • Zombanakis, George A.
  • Likothanassis, S. D.
  • Georgakopoulos, E.

Abstract

This paper considers the extent to which the application of neural networks methodology can be used in order to forecast exchange-rate shocks. Four major foreign currency exchange rates against the Greek Drachma as well as the overnight interest rate in the Greek market are employed in an attempt to predict the extent to which the local currency may be suffering an attack. The forecasting is extended to the estimation of future exchange rates and interest rates. The MLP proved to be highly successful in predicting the shocks, while exhange-rates and interest-rates forecasts with MLP and RBF optimized by a genetic algorithm resulted in good approximations.

Suggested Citation

  • Andreou, A. S. & Zombanakis, George A. & Likothanassis, S. D. & Georgakopoulos, E., 1998. "Modeling And Forecasting Exchange-Rate Shocks," MPRA Paper 51539, University Library of Munich, Germany, revised 06 Jun 1998.
    • Handle: RePEc:pra:mprapa:51539
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    References listed on IDEAS

    as
    1. Pavlos Karadeloglou & Christos Papazoglou & George Zombanakis, 1998. "Is the Exchange Rate an Effective Anti-inflationary Policy Instrument?," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 2(1), pages 47-72, Summer.
    2. Brissimis, Sophocles N. & Leventakis, John A., 1989. "The effectiveness of devaluation: A general equilibrium assessment with reference to Greece," Journal of Policy Modeling, Elsevier, vol. 11(2), pages 247-271.
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    Cited by:

    1. A. S. Andreou & G. A. Zombanakis & E. F. Georgopoulos & S. D. Likothanassis, 2000. "In search of a warning strategy against exchange-rate attacks: Forecasting tactics using artificial neural networks," Discrete Dynamics in Nature and Society, Hindawi, vol. 5, pages 1-17, January.

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    More about this item

    Keywords

    Exhange Rates Devaluation Prediction;

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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