Forecasting exchange rates in transition economies: A comparison of multivariate time series models

Crespo-Cuaresma, Jesús and Hlouskova, JaroslavaORCID: https://orcid.org/0000-0002-2298-0068 (2004) Forecasting exchange rates in transition economies: A comparison of multivariate time series models. Empirical Economics, 29 (4), pp. 787-801. DOI: 10.1007/s00181-004-0212-x

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Abstract

This article compares the accuracy of vector autoregressive (VAR), restricted vector autoregressive (RVAR), Bayesian vector autoregressive (BVAR), vector error correction (VEC) and Bayesian vector error correction (BVEC) models in forecasting the exchange rates for five Central and Eastern European currencies (Czech Koruna, Hungarian Forint, Polish Zloty, Slovak Koruna and Slovenian Tolar) against the Euro and the US dollar. Among the specifications composing this battery of multivariate time series models, those with the smallest prediction error still fail to reject the test of equality of forecasting accuracy against the random walk model in short-term predictions, with the exception of the Slovenian Tolar/Euro exchange rate.

Item Type: Article in Academic Journal
Keywords: vector autoregression, cointegration, Bayesian methods, exchange rates, transition economies
Classification Codes (e.g. JEL): C53, P33, C32
Date Deposited: 22 May 2015 08:28
Last Modified: 13 Dec 2023 12:45
DOI: 10.1007/s00181-004-0212-x
ISSN: 0377-7332 (Print), 1435-8921 (Online)
URI: https://irihs.ihs.ac.at/id/eprint/3390

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