Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 10 of 10 for “"exchange rate forecasting"”.
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Essays on Carry Trade and Exchange Rate Forecasting
… the combination of three papers on carry trade strategies and exchange rate forecasting. The rst paper evaluates the performance of carry trade strategies with implied Taylor rule interest rate di erentials and compares their performance statistics to the naive carry trade strategy with actual …
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Exchange rate forecasting: regional applications to ASEAN, CACM, MERCOSUR and SADC countries
… to knowledge concerning the volatility and forecasting of exchange rates in the emerging world. It investigates the exchange rates of the leading trading blocs in that part of the world. This thesis examines exchange rates of selected emerging countries across continents and fills gaps in …
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Exchange rate forecasting with an artificial neural network model : can we beat a random walk model?
Developing an understanding of exchange rate movements has long been an extremely important task because an ability to produce accurate forecasts of exchange rates has practical as well as theoretical value. The practical value lies in the ability of good forecasts to provide useful information for …
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Generalized Principal Component Analysis
… component analysis (GPCA). The GPCA is illustrated using both Monte Carlo simulations as well as an empirical study, in an attempt to demonstrate the enhanced reliability of these more general factor models in the context of out-of-sample forecasting. The empirical study examines the …
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Two Essays on Monetary Policy and Exchange Rates in Thailand
… two essays on monetary policy determination and exchange rate forecasting in Thailand. Thailand is a small open economy using an inflation-targeting framework with a managed floating exchange rate. The Bank of Thailand uses the policy interest rate as the main monetary policy instrument and …
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Three essays on the predictive content and predictability of the nominal exchange rates in a changing world
… and the predictability of the nominal USD/GBP exchange rate changes in a world with structural instabilities. In Chapter 2 we mainly focus on the predictive content of the exchange rates in an attempt to forecast the Taylor rule fundamentals, such as the output gap, the inflation rate and the …
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Essays in international finance
… finance, with a focus on the foreign exchange market. The first chapter assesses the predictive ability of a comprehensive set of empirical models of exchange rates, in addition to a standard technical trading strategy, on monthly exchange-rate returns for four developed and four …
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Essays in International Macroeconomics and Finance
… on monetary policy, capital controls and exchange rates. Chapter 1, written in collaboration with Giancarlo Corsetti and Joao Duarte, reconsiders the effects of common monetary policy shocks across countries in the euro area, using a data-rich factor model and identifying shocks with …
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Predictability of the Dollar- Rand exchange rate using Taylor Rule fundamentals and commodity Prices.
International trade is strongly hinged on the exchange rates of participating nations. The financial crisis of 2008/2009 amongst other things, brought to light the strong interdependence of nations and their currencies. It is therefore of paramount importance for South Africa to be able to …
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Essays in Currency Markets
… difficulty of outperforming the random walk in forecasting nominal exchange rates in an out-of-sample fashion, particularly at short horizons, using macro aggregates. Using carry, momentum, and value trading signals, which resemble macro variables that have traditionally been considered in …