Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market
Title Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market PDF eBook
Author International Monetary Fund
Publisher International Monetary Fund
Pages 32
Release 1990-05-01
Genre Business & Economics
ISBN 1451975007

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This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated estimates using survey data. Here we follow most of the theoretical and empirical literature in acting as if all market participants share the same expectation. The second half then addresses the possibility of heterogeneous expectations, particularly the distinction between “chartists” and “fundamentalists,” and the implications for trading in the foreign exchange market and for the formation of speculative bubbles.

Foreign-Exchange-Rate Forecasting with Artificial Neural Networks

Foreign-Exchange-Rate Forecasting with Artificial Neural Networks
Title Foreign-Exchange-Rate Forecasting with Artificial Neural Networks PDF eBook
Author Lean Yu
Publisher Springer Science & Business Media
Pages 323
Release 2010-02-26
Genre Business & Economics
ISBN 038771720X

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This book focuses on forecasting foreign exchange rates via artificial neural networks (ANNs), creating and applying the highly useful computational techniques of Artificial Neural Networks (ANNs) to foreign-exchange rate forecasting. The result is an up-to-date review of the most recent research developments in forecasting foreign exchange rates coupled with a highly useful methodological approach to predicting rate changes in foreign currency exchanges.

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market
Title Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market PDF eBook
Author Jeffrey A. Frankel
Publisher
Pages 42
Release 1990
Genre Foreign exchange
ISBN

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The paper presents new empirical results that elucidate the dynamics of the foreign exchange market. The first half of the paper is an updated study of the exchange rate expectations held by market participants, as reflected in responses to surveys, and contains the following conclusions. First, the bias observed in the forward discount as a predictor of the future spot rate is not attributable to an exchange risk premium, as is conventionally believed. Second, at short horizons forecasters tend to extrapolate recent trends, while at long horizons they tend to forecast a reversal. Third, the bias in expectations is robust in the samples, based on eight years of data across five currencies. The second half of the paper abandons the framework in which all market participants share the same forecast, to focus on the importance of heterogeneous expectations. Tests suggest that dispersion of opinion, as reflected in the standard deviation across respondents in the survey, affects the volume of trading in the market, and, in turn, the degree of volatility of the exchange rate. An example of how conflicting forecasts can lead to swings in the exchange rate is the model of "chartists and fundamentalists." The market weights assigned to the two models fluctuate over time in response to recent developments, leading to fluctuations in the demand for foreign currency. The paper ends with one piece of evidence to support the model: the fraction of foreign exchange forecasting services that use "technical analysis" did indeed increase sharply during 1983-85, but declined subsequently

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market
Title Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market PDF eBook
Author Jeffrey A. Frankel
Publisher
Pages 46
Release 1991
Genre Foreign exchange
ISBN

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Exchange Rate Expectations

Exchange Rate Expectations
Title Exchange Rate Expectations PDF eBook
Author International Monetary Fund
Publisher International Monetary Fund
Pages 36
Release 1990-06-01
Genre Business & Economics
ISBN 145197020X

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This paper presents a brief survey of the empirical literature on survey-based exchange rate expectations. The literature in general supports the presence of a non-zero risk premium and rejects the hypothesis of rational expectations. The crucial result is that, while short-run expectations tend to move away from some long-run “normal” values, long-run expectations tend to regress toward them. If this nature of short-run expectations increases the volatility of exchange rate movements, there may be a basis for some official measure to minimize short-run exchange rate movements.

Exchange Rate Forecasting: Techniques and Applications

Exchange Rate Forecasting: Techniques and Applications
Title Exchange Rate Forecasting: Techniques and Applications PDF eBook
Author I. Moosa
Publisher Springer
Pages 420
Release 2016-02-05
Genre Business & Economics
ISBN 0230379001

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Forecasting exchange rates is a variable that preoccupies economists, businesses and governments, being more critical to more people than any other variable. In Exchange Rate Forecasting the author sets out to provide a concise survey of the techniques of forecasting - bringing together the various forecasting methods and applying them to the exchange rate in a highly accessible and readable manner. Highly practical in approach, the book provides an understanding of the techniques of forecasting with an emphasis on its applications and use in business decision-making, such as hedging, speculation, investment, financing and capital budgeting. In addition, the author also considers recent developments in the field, notably neural networks and chaos, again, with easy-to-understand explanations of these "rocket science" areas. The practical approach to forecasting is also reflected in the number of examples that pepper the text, whilst descriptions of some of the software packages that are used in practice to generate forecasts are also provided.

The Microstructure of Foreign Exchange Markets

The Microstructure of Foreign Exchange Markets
Title The Microstructure of Foreign Exchange Markets PDF eBook
Author Jeffrey A. Frankel
Publisher University of Chicago Press
Pages 358
Release 2009-05-15
Genre Business & Economics
ISBN 0226260232

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The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.