A Vector Autoregressive Forecasting Model of The US$/$A Exchange Rate
- 1 December 1985
- journal article
- research article
- Published by SAGE Publications in Australian Journal of Management
- Vol. 10 (2) , 47-65
- https://doi.org/10.1177/031289628501000203
Abstract
A forecasting model of the US$/$A exchange rate is derived through the application of vector autoregression (VAR) techniques. The major theoretical models of exchange rate determination are reviewed to identify relevant variables to include in the VAR model. For the within-sample period of September 1974 to May 1983, the VAR forecasts are found to be clearly superior to the naive no-charge extrapolated forecasts. However, the position is reversed when the out-of-sample forecasts are examined.Keywords
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