uu.seUppsala University Publications
Change search
ReferencesLink to record
Permanent link

Direct link
Evaluating the Importance of PPP Error Correction in Exchange Rate Forecasting
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2016 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This paper evaluates the effects of error correction based on purchasing power parity in exchange rate forecasting models. This is done by evaluating the performance of VAR, VEC and baseline univariate models using British and Dutch exchange rates towards Sweden for a wide range of forecasting horizons with a rolling window approach. Results are largely inconclusive, with no statistically significant difference in performance between the two main models of interest although mean performance largely mirror previous research, with error correction models tending towards relatively better performance for longer horizons, although these results seem sensitive to structural change and shocks to the underlying processes.

Place, publisher, year, edition, pages
National Category
Social Sciences
URN: urn:nbn:se:uu:diva-296142OAI: oai:DiVA.org:uu-296142DiVA: diva2:936368
Available from: 2016-06-27 Created: 2016-06-13 Last updated: 2016-06-27Bibliographically approved

Open Access in DiVA

fulltext(2198 kB)12 downloads
File information
File name FULLTEXT01.pdfFile size 2198 kBChecksum SHA-512
Type fulltextMimetype application/pdf

By organisation
Department of Statistics
Social Sciences

Search outside of DiVA

GoogleGoogle Scholar
Total: 12 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 23 hits
ReferencesLink to record
Permanent link

Direct link