title: Forecasting real effective exchange rate indices of currencies using a stochastic factor
metadata.name: dc.contributor.author
metadata.value: Vorontsovskiy, Aleksey V.
metadata.lang: -
metadata.name: dc.contributor.author
metadata.value: Vyunenko, Lyudmila F.
metadata.lang: -
metadata.name: dc.date.accessioned
metadata.value: 2018-01-30T15:29:18Z
metadata.lang: -
metadata.name: dc.date.available
metadata.value: 2018-01-30T15:29:18Z
metadata.lang: -
metadata.name: dc.date.issued
metadata.value: 2017-12
metadata.lang: -
metadata.name: dc.identifier.citation
metadata.value: Vorontsovskiy A. V., Vyunenko L. F. Forecasting real effective exchange rate indices of currencies using a stochastic factor. St Petersburg University Journal of Economic Studies, 2017, vol. 33, issue 4, pp. 522–549.
metadata.lang: en_GB
metadata.name: dc.identifier.other
metadata.value: 10.21638/11701/spbu05.2017.401
metadata.lang: -
metadata.name: dc.identifier.uri
metadata.value: http://hdl.handle.net/11701/9029
metadata.lang: -
metadata.name: dc.description.abstract
metadata.value: This article considers the possibility of forecasting real effective exchange rate indices for leading world countries. A stable unified mean trajectory for a reliable forecast of the index cannot be constructed using data from 31 January 1994 to 30 April 2017; however, it is reasonable to use data of the last period for this purpose. To construct a short-term forecast of real effective exchange rates based on initial value, we propose using a simulation with a discrete approximation of stochastic differential equations of Merton, Vasicek, Dosen, Ogden, and Cox-Ingersoll-Ross, and a polynomial residues model. Simulations using discrete approximations of the Vasicek, Merton, Dosen, and Ogden equations did not allow constructing a reliable forecast of the specified index using data from April 2016 to March 2017 for the USA, UK, Eurozone countries, Japan, and Switzerland. Processing simulation results based on a discrete approximation of the stochastic Cox-Ingersoll-Ross equation and the polynomial residues model, and for the considered countries for most of the same time period, resulted in a 50 % confidence interval for the mean trajectory of observed values of effective exchange rates indexes. The quality of the forecast essentially depends on the selected time period and methods used to determine the numerical parameters of discrete approximations for the original stochastic equations. Refs 34. Figs 10. Tabl. 3.
metadata.lang: en_GB
metadata.name: dc.language.iso
metadata.value: ru
metadata.lang: en_GB
metadata.name: dc.publisher
metadata.value: St Petersburg State University
metadata.lang: en_GB
metadata.name: dc.relation.ispartofseries
metadata.value: St Petersburg University Journal of Economic Studies;Volume 33; Issue 4
metadata.lang: -
metadata.name: dc.subject
metadata.value: real effective exchange rates
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: stochastic equations
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: dynamics of exchange rates
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: models of polynomial residues
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: discrete linear approximation
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: simulation
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: confidence intervals
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: forecasting
metadata.lang: en_GB
metadata.name: dc.subject
metadata.value: given current values
metadata.lang: en_GB
metadata.name: dc.title
metadata.value: Forecasting real effective exchange rate indices of currencies using a stochastic factor
metadata.lang: en_GB
metadata.name: dc.type
metadata.value: Article
metadata.lang: en_GB
resources.filename: 01-Vorontsovsky.pdf
resources.url: https://dspace.spbu.ru/bitstream/11701/9029/1/01-Vorontsovsky.pdf
resources.format: Adobe PDF
resources.size: 2,97 MB