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Is the Swedish krona predictable?
University West, Department of Economics and IT, Divison of Law, Economics, Statistics and Politics.
2017 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
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.

Place, publisher, year, edition, pages
2017. , 27 p.
Keyword [en]
Exchange rates, Swedish krone
National Category
Economics
Identifiers
URN: urn:nbn:se:hv:diva-11495Local ID: EXF800OAI: oai:DiVA.org:hv-11495DiVA: diva2:1141149
Subject / course
Nationalekonomi
Educational program
Ekonomprogrammet
Supervisors
Examiners
Available from: 2017-09-19 Created: 2017-09-14 Last updated: 2017-09-19Bibliographically approved

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