Menu Expand

Cite JOURNAL ARTICLE

Style

Heri, E. Zur Prognostizierbarkeit von Wechselkursänderungen. . Ein empirischer Vergleich verschiedener Prognosefunktionen. Journal of Contextual Economics – Schmollers Jahrbuch, 104(4), 369-388. https://doi.org/10.3790/schm.104.4.369
Heri, Erwin W. "Zur Prognostizierbarkeit von Wechselkursänderungen. Ein empirischer Vergleich verschiedener Prognosefunktionen. " Journal of Contextual Economics – Schmollers Jahrbuch 104.4, 1984, 369-388. https://doi.org/10.3790/schm.104.4.369
Heri, Erwin W. (1984): Zur Prognostizierbarkeit von Wechselkursänderungen, in: Journal of Contextual Economics – Schmollers Jahrbuch, vol. 104, iss. 4, 369-388, [online] https://doi.org/10.3790/schm.104.4.369

Format

Zur Prognostizierbarkeit von Wechselkursänderungen

Ein empirischer Vergleich verschiedener Prognosefunktionen

Heri, Erwin W.

Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 104 (1984), Iss. 4 : pp. 369–388

1 Citations (CrossRef)

Additional Information

Article Details

Heri, Erwin W.

Cited By

  1. Wechselkursbewegungen. Einige Ergebnisse einer Analyse der kurzen Frist

    Erwin, Heri,

    Credit and Capital Markets - Kredit und Kapital, Vol. 17 (1984), Iss. 2 P.223

    https://doi.org/10.3790/ccm.17.2.223 [Citations: 2]

References

  1. Akaike, H. (1973), Information Theory and an Extension of the Maximum Likelihood Principle, in Petrov and Caski (Eds.): Second International Symposium on Information Theory, Budapest.  Google Scholar
  2. Banderdji, L. (1979), Empirical Studies of Exchange Market Behaviour in the Floating Regime: 1973 - 1978, Unveröffentlichte Ph. D. Dissertation, Harvard University.  Google Scholar
  3. Bilson, J. F. O. (1980 a), Profitability and Stability in International Currency Markets, NBER Discussion Paper.  Google Scholar
  4. Bilson, J. F. O. (1980 b), The Speculative Efficiency Hypothesis, NBER Discussion Paper.  Google Scholar
  5. Cuddington, J. T. and J. A. Gluck (1983), Exchange Rate Forecasting and the International Diversification of Liquid Asset Holdings, Discussion Paper, Stanford University.  Google Scholar
  6. Fama, E. F. (1976), Foundations of Finance, New York.  Google Scholar
  7. Fama, E. F. and A. Farber (1979), Money, Bonds and Foreign Exchange, American Economic Review 69, 639 - 649.  Google Scholar
  8. Feige, E. L. and D. K. Pearce (1976), Economically Rational Expectations: Are Innovations in the Rate of Inflation Independent of Innovations in Measures of Monetary and Fiscal Policy? Journal of Political Economy 84, 499 - 522.  Google Scholar
  9. Feige, E. L. and D. K. Pearce (1979), The Causal Relationship between Money and Income: Some Caveats for Time Series Analysis, Review of Economics and Statistics 61, 521 - 533.  Google Scholar
  10. Gaab, W. (1980), Der Terminkurs als Predictor für den zukünftigen Kassakurs: Eine ökonometrische Untersuchung, Diskussionspapier Nr. 152, Universität Mannheim.  Google Scholar
  11. Gaab, W. (1983), Devisenmärkte und Wechselkurse, Berlin.  Google Scholar
  12. Gebauer, W. (1982), Realzins, Inflation und Kapitalzins, Berlin.  Google Scholar
  13. Geweke, J. and E. Feige (1979), Some Joint Tesis of the Efficiency of Markets for Forward Foreign Exchange, Review of Economics and Statistics 61, 334 - 341.  Google Scholar
  14. Geweke, J., E. Feige and R. Meese (1981), Estimating Regression Models of Unknown but Finite Order, International Economic Review 22, 55-70.  Google Scholar
  15. Giddy, I. and G. Dufey (1976), The Random Behaviour of Flexible Exchange Rates: Implications for Forecasting, Journal of International Business Studies 6, 1-32.  Google Scholar
  16. Goodman, S. H. (1979), Foreign Exchange Rate Forecasting Techniques: Implications for Business and Policy, The Journal of Finance 34, 415 - 427.  Google Scholar
  17. Granger, C. W. J. (1969), Investigating Causal Relations by Econometric Models and Cross Spectral Methods, Econometrica 37, 424 - 438.  Google Scholar
  18. Granziol, M. (1980), Rationale Erwartungen und Devisenkurse: Ergebnisse einer Multimarkt-Effizienz-Untersuchung des $/SFr- und DM/SFr-Einmonatsterminmarktes. Schweizerische Zeitschrift für Volkswirtschaft und Statistik 116, 422 - 434.  Google Scholar
  19. Heri, E. W. (1981), Foreign Exchange Market Efficiency: Some Caveats, Revista Internationale di Science Economiche e Commerciali 28, 1034 - 1043.  Google Scholar
  20. Heri, E. W. (1982), Bestimmungsgründe kurzfristiger Wechselkursfluktuationen, Hamburg.  Google Scholar
  21. Hsiao, C. (1979), Autoregressive Modelling of Canadian Money and Income Data, Journal of American Statistical Association 74, 555 - 560.  Google Scholar
  22. - (1981), Autoregressive Modelling and Money Income Causality Detection, Journal of Monetary Economics 7, 85 - 101.  Google Scholar
  23. Kirchgaessner, G. (1981), Einige neuere statistische Verfahren zur Erfassung kausaler Beziehungen zwischen Zeitreihen, Göttingen.  Google Scholar
  24. Kirchgaessner, G. (1983), Oekonometrie: Datenanalyse oder Theorieüberprüfung, Jahrbuch für Nationalökonomie und Statistik 198, 511 - 538.  Google Scholar
  25. Koutsoyiannis, A. (1979), Theory of Econometrics, London.  Google Scholar
  26. Kugler, P.(1981), A Note on Causality Detection by Autoregressive Modelling, Statistische Hefte 23.  Google Scholar
  27. Levich, R. M. (1979), On Efficiency of Markets for Foreign Exchange, in: R. Dornbusch and J. A. Frenkel (1979): International Economic Policy, Theory and Evidence, Baltimore.  Google Scholar
  28. Loef, H.-E. (1980), Exchange Rate, Inflation Rate, Expectations and the Demand for Money. Germany 1970-1978. Diskussionspapier Nr. 135 (Serie A) der Fakultät für Wirtschaftswissenschaften und Statistik der Universität Konstanz.  Google Scholar
  29. Makridakis, S. and M. Hibon (1979), Accuracy of Forecasting: An Empirical Investigation, Journal of the Royal Statistical Society 142, 97 - 145.  Google Scholar
  30. Meese, R. A. and K. Rogoff (1983), Empirical Exchange Rate Models of the Seventies: Do They Fit out of Sample?, Journal of International Economics 14, 3 - 24.  Google Scholar
  31. Mussa, M. (1979), Empirical Regularities of Exchange Rates and Theories of the Foreign Exchange Market, Carnegie-Rochester Conference Series on Public Policy 11, 9 - 57.  Google Scholar
  32. Rich, G. and J. P. Beguelin (1982), Swiss Monetary Policy in the 1970’s and 1980’s, Mimeo, Schweizerische Nationalbank.  Google Scholar
  33. Stulz, R. M. (1983), Currency Preferences, Purchasing Power Risk and the Determination of Exchange Rates in an Optimizing Model, Paper presented at the Konstanz Seminar on Monetary Theory and Monetary Policy, June 1983.  Google Scholar
  34. Theil, H. (1966), Applied Economic Forecasting, Amsterdam.  Google Scholar
  35. Welcker, J. (1982), Technische Aktienanalyse, Zürich.  Google Scholar
  36. Wolters, J. (1981), Zum Zusammenhang zwischen Preiserwartungen des IFO-Konjunkturtests und der tatsächlichen Preisentwicklung, Diskussionspapier Nr. 179 - 81, Universität Mannheim.  Google Scholar
  37. Zellner, A. (1979), Causality and Econometrics, Carnegie-Rochester Conference Series on Public Policy 10, 9 - 54.  Google Scholar

Abstract

This study pursues a joint purpose: firstly, it attempts to find an optimal indicator for expected exchange rate changes - a variable that appears quite often in open-economy models - and secondly it tests whether it is possible to find basic forecasting functions that can systematically ‘beat the market’. The empirical results point towards a poorer forecasting accuracy of functions that are based on leading indicators as compared to ‘naive’ methods that rest on rational expectations theory. In most cases the respective interest rate differential - together with the ‘zero-change’ forecast - proved to be the most accurate technique for forecasting exchange rate changes.