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A Pound Centric look at the Pound vs. Krona Exchange Rate Movement from 1844 to 1965

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  • Andrew Clark

    (Department of Economics, University of Reading)

Abstract

A longitudinal (1844-1965) study of the Pound Krona exchange rate is conducted utilizing London Times article news sentiment, gold price, GDP, and other relevant metrics to create a dynamic systems state-based model to predict the Pound Krona yearly exchange rate. The created model slightly outperforms a naive random walk forecasting model.

Suggested Citation

  • Andrew Clark, 2020. "A Pound Centric look at the Pound vs. Krona Exchange Rate Movement from 1844 to 1965," Economics Discussion Papers em-dp2020-22, Department of Economics, University of Reading.
    • Handle: RePEc:rdg:emxxdp:em-dp2020-22
    as

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    File URL: http://www.reading.ac.uk/web/FILES/economics/emdp202022.pdf
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    References listed on IDEAS

    as
    1. Chakraborty, Chiranjit & Joseph, Andreas, 2017. "Machine learning at central banks," Bank of England working papers 674, Bank of England.
    2. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    3. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    4. Voshmgir, Shermin & Zargham, Michael, 2019. "Foundations of Cryptoeconomic Systems," Working Paper Series/Institute for Cryptoeconomics/Interdisciplinary Research 1, WU Vienna University of Economics and Business.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Econometrics; Machine Learning; Dynamic Systems; Complex Systems;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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