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Is the Swedish krona predictable?
Högskolan Väst, Institutionen för ekonomi och it, Avd för juridik, ekonomi, statistik och politik.
2017 (engelsk)Independent thesis Advanced level (degree of Master (One Year)), 10 poäng / 15 hpOppgave
Abstract [en]

The paper studies the ex-post forecasting ability for the Swedish krona against the American dollar, Canadian dollar, Norwegian krone, British pound and the Japanese yen over the period February 1998 to January 2017 for most of the exchange rates, using famous economic models: Purchasing Power Parity and Quasi-reduced form1. The performance of these models is compared against two specified benchmarks: driftless random walk and interest rate parity. The examined period divided into two samples, in-sample which estimated using ordinary least squares, and out-of-sample and estimated using rolling regression. Afterward, the ot-of-sample forecasts results evaluated using accuracy and usefulness criterias at forecast horizons of three and six months. The evaluation results show that there is no particular economic model can consistently beat the both benchmarks or can consistently put the investors on the right side of the market.

sted, utgiver, år, opplag, sider
2017. , s. 27
Emneord [en]
Exchange rates, Swedish krone
HSV kategori
Identifikatorer
URN: urn:nbn:se:hv:diva-11495Lokal ID: EXF800OAI: oai:DiVA.org:hv-11495DiVA, id: diva2:1141149
Fag / kurs
Nationalekonomi
Utdanningsprogram
Ekonomprogrammet
Veileder
Examiner
Tilgjengelig fra: 2017-09-19 Laget: 2017-09-14 Sist oppdatert: 2017-09-19bibliografisk kontrollert

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