Department Chair
Dr. Theodore F. Byrley, Chair and Associate Professor of Economics and Finance
Date of Award
8-2013
Access Control
Open Access
Degree Name
Applied Economics, M.A.
Department
Economics and Finance Department
Advisor
Dr. Theodore F. Byrley, Chair and Associate Professor of Economics and Finance
Department Home page
http://economics.buffalostate.edu/
First Reader
Dr. Theodore F. Byrley, Chair and Associate Professor of Economics and Finance
Second Reader
Dr. Ted Schmidt, Associate Professor of Economics and Finance
Third Reader
Dr. Fred Floss, Professor of Ecnomics and Finance
Abstract
The purpose of this thesis is to seek answers to different questions regarding the forecasting of foreign exchange rates. Exchange rate movement is regularly monitored by central banks for macroeconomic analysis and market surveillance purposes. Results in the literature show exchange rate models perform poorly in out-of-sample prediction analysis, even though some models have good in-sample analysis. The results were found using methods including moving average, exponential smoothing, random walk, and Box-Jenkins transfer function. The questions that I ask are: how accurate are these models when compared to a random prediction of future exchange rates, and what variables, if any, allow for the most accurate prediction?
This thesis is to research a variety of foreign exchange forecasting models and gather data for several different countries and variables in order to compare the future predictions to a random walk model. There are several objectives I will pursue to determine if this thesis is valid. One objective is to define the specific formulas used for each model, including which variable each model uses. Another objective is to run tests of all the models, variables, and data, and compare the viability of the results. A number of questions will arise and will be investigated.
Recommended Citation
Znaczko, Timothy M., "Forecasting Foreign Exchange Rates" (2013). Applied Economics Theses. 4.
https://digitalcommons.buffalostate.edu/economics_theses/4
Included in
Business Administration, Management, and Operations Commons, Finance and Financial Management Commons, International Business Commons
