کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963692 | 930389 | 2010 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A new approach to forecasting exchange rates
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
Building on purchasing power parity theory, this paper proposes a new approach to forecasting exchange rates using the Big Mac data from The Economist magazine. Our approach is attractive in three aspects. Firstly, it uses easily-available Big Mac prices as input. These prices avoid several potential problems associated with broad price indexes, such as the consumer price index used in conventional PPP studies. Secondly, this approach provides real-time exchange-rate forecasts at any forecast horizon. These high-frequency forecasts could be appealing to those who want up-to-date exchange-rate forecasts. Finally, as our forecasts are obtained through a simulation procedure, estimation uncertainty is made explicit in our framework that provides the entire distribution of exchange rates, not just a single point estimate. Using exchange rates of six major currencies to illustrate the approach, we compare the Big Mac forecasts with those derived from a random walk and the CPI and find some support for our approach, especially at longer term horizons.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 29, Issue 7, November 2010, Pages 1424-1437
Journal: Journal of International Money and Finance - Volume 29, Issue 7, November 2010, Pages 1424-1437
نویسندگان
Kenneth W. Clements, Yihui Lan,