EXCHANGE RATE PREDICTIONS IN INTERNATIONAL FINANCIAL MANAGEMENT BY ENHANCED GMDH ALGORITHM

Author : Josef Taušer, Petr Buryan
File Type : Paper
Keywords: GMDH, self-organizing polynomial networks, time series analysis, exchange rate
prediction, FX hedging  

Abstract : Exchange rate forecasting is an important fi nancial problem that is receiving increasing attention
nowadays especially because of its diffi culty and host of practical applications in globalising
world of today. The paper presents an enhanced MIA-GMDH-type network, discusses its design
methodology and carries out some numerical experiments in the fi eld of exchange rate forecasting.
The method presented in this paper is an enhancement of self-organizing polynomial Group
Method of Data Handling (GMDH) with several specifi c improved features - coeffi cient rounding
and thresholding schemes and semi-randomized selection approach to pruning. The experiments
carried out include exchange rate prediction and hedging case study where the predictions were
used for fi nancial management decision simulation of a virtual company. The results indicate,
that the method shows promising potential of self-organizing network methodology. This implies
that the proposed modelling approaches can be used as a feasible solution for exchange rate
forecasting in fi nancial management.
 
Author Affiliation : Faculty of the International Relations, University of Economics, Prague.
Sources : PRAGUE ECONOMIC PAPERS, 3, 2011 

期中報告:國際金融專題期中報告 10292026

期末報告:國際金融專題期中報告 10292026

Investigation Causal Relations among Stock Market and Macroeconomic Variables :Evidence from Turkey

作者:

Karacaer, Semra; Kapusuzoglu, Ayhan

作者關係機構:

Hacettepe U; Hacettepe U

資料來源:

International Journal of Economic Perspectives, 2010, v. 4, iss. 3, pp. 501-07

出版日期:

2010

摘要:

The present study aims to examine the long-term relationships and short-term dynamics between the stock price index and inflation, industrial output and exchange rate as basic macroeconomic factors in Turkey for the period between 2003:01 and 2010:02. The Augmented Dickey Fuller (ADF) and Philips Perron (PP) unit root tests, Johansen cointegration test and Granger causality test were applied to examine the inter-variable relationships. The results of the analyses revealed a long-term relationship among the variables in question as there exists a cointegration relationship between the variables, while in the short run, there were unidirectional and bidirectional causal relations among the variables.

關鍵字:

Macroeconomics; Stock Market

地理位置描述項:

Turkey

ISSN:

13071637

出版品類型:

Journal Article

入藏號碼:

1254309

期中報告 10392001 徐逸茹 

更正為: BIVARIATE CAUSALITY BETWEEN EXCHANGE RATES AND STOCK PRICES IN MALAYSIA.

 連結: 期末報告 10392001 徐逸茹

Exchange rate sensitivity of the demand for money in Spain

作者:

Bahmani-Oskooee, Mohsen1
Martin, Miquel-Angel Galindo2
Niroomand, Farhang3

資料來源:

Applied Economics. May98, Vol. 30 Issue 5, p607-612. 6p. 4 Charts.

文件類型:

Article

主題術語:

*FOREIGN exchange rates
*DEMAND for money
*COINTEGRATION
*ECONOMETRICS
*TIME series analysis

地理詞彙:

SPAIN

摘要:

The article focuses on the exchange rate and demand for money in Spain, while assessing a macroeconomic model. Following most recent developments in the money demand literature, the authors try to incorporate the nominal effective exchange rate of the Spanish peseta in the money demand function to determine whether it becomes stable. The cointegration method is used to test the existence of a long-run equilibrium relationship between Spanish money balances and its determinants. Spanish money balances and its determinants. Exclusion tests also developed by economists S. Johansen and K. Juselius are used to determine the significance of each determinant. The first step in applying cointegration analysis is to determine the degree of integration of each variable in the model. For this purpose, following many other studies in the literature, the authors rely upon the ADF test. Using quarterly data over the 1974I-1992IV period and the Johansen-Juselius cointegration procedure, the authors were able to find evidence of cointegration among the variables of both the monetary aggregates money demand functions.

作者所屬機構:

1Department of Economics, University of Wisconsin-Milwaukee, Milwaukee, WI 53201, USA.
2Department of Economics, University Complutense, Madrid, Spain.
3Department of Economics, University of Southern Mississippi, Hattiesburg, MS 39406, USA.

ISSN:

0003-6846

DOI:

10.1080/000368498325598

入藏號碼:

702286

出版商標誌:

期中報告:1031 國際金融專題期中報告 10392007

Is Gold a Hedge Against Turkish Lira?

作者:

Ozturk, Feride1 fozturk@dumlupinar.edu.tr
Acikalin, Sezgin1 sezgina@anadolu.edu.tr

資料來源:

South East European Journal of Economics & Business (1840118X). Apr2008, Vol. 3 Issue 1, p35-40. 6p. 3 Charts, 3 Graphs.

文件類型:

Article

主題術語:

*GOLD industry
*LIRA (Turkish currency)
*CONSUMER price indexes
*FOREIGN exchange rates
*DOLLAR (United States currency)
*DEPRECIATION

地理詞彙:

TURKEY
UNITED States

摘要:

This paper investigates whether gold is an internal hedge and/or an external hedge against Turkish lira (TL) by using monthly data from January 1995 to November 2006. Cointegration test results confirm the long-term relationships between the gold price and consumerprice index and between the gold price and TL/US dollar exchange rate. The Granger Tests, based on vector error correction model (VECM), indicate that gold price Granger causes the consumer price index and TL/US dollar exchange rate in a unidirectional way. It is concluded that gold acts as an effective hedge against potential future TL depreciation and rising domestic inflation. Furthermore, gold price may be considered as a good indicator of inflation and hence it can be used as a guide to monetary policy. [ABSTRACT FROM AUTHOR]

 

Copyright of South East European Journal of Economics & Business (1840118X) is the property of De Gruyter Open and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

作者所屬機構:

1Dunlupinar University, Department of Economics, Tavsanli Yolu 10.Km, Kutahya, Turkey

ISSN:

1840-118X

入藏號碼:

31655157

On The Dynamic Relation Between Stock Prices And Exchange Rates

文獻來源:

   Volume (Year): 19 (1996)

   Issue (Month): 2 (06)
   Pages: 193-207

原本連結https://ideas.repec.org/a/bla/jfnres/v19y1996i2p193-207.html

youtube 連結https://www.youtube.com/watch?v=B3x0abB-Q0w

Dynamics of the yen-dollar real exchange rate and the US-Japan real trade balance.

作者:

Rahman, Matiur1
Mustafa, Muhammad2
Burckel, Daryl V.1

資料來源:

Applied Economics. May97, Vol. 29 Issue 5, p661-664. 4p. 3 Charts.

文件類型:

Article

主題術語:

*COINTEGRATION
*FOREIGN exchange rates
*COMMERCE
*MONETARY policy
*FOREIGN trade regulation
*BALANCE of payments
*TIME series analysis
*ECONOMETRICS

地理詞彙:

UNITED States
JAPAN

摘要:

This paper employs cointegration and error correction models to examine the dynamics of the yen-dollar real exchange rate and the US-Japan real trade balance. It uses quarterly data from 1973.I-1993.IV. The unit root tests reveal non-stationarity in both the variables. The ADF test fails to affirm any long-run association between the yen-dollar real exchange rate and the US-Japan real trade balance. Also, there is evidence of bidirectional short-run Granger causality between these two variables with mutual feedbacks. [ABSTRACT FROM AUTHOR]

 

Copyright of Applied Economics is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

作者所屬機構:

1Department of Accounting and Finance, McNeese State University, Lake Charles, LA 70609, USA.
2Department of Agribusiness and Economics, South Carolina State University, Orangeburg, SC 29117, USA.

ISSN:

0003-6846

DOI:

10.1080/000368497326868

入藏號碼:

9706173698

出版商標誌:

期中口頭報告：1031 國際金融專題(一)期中報告 10392006



期末口頭報告：1031 國際金融專題(一)期末報告 10392006


期末書面報告：國際金融專題期末報告 2006 浩偉

The relationship between stock price index and exchange rate in Asian markets: A quantile regression approach

作者:
     Chun Tsai
資料來源:
         Journal of International Financial Markets, Institutions & Money
文件類型:
         Article
關鍵詞：
         Stock market
         Foreign exchange market
         Exchange rate
         Asian markets
         Quantile regression

摘要:

         This paper uses the data of six Asian countries to estimate the relationship between stock price index and exchange rate. According to the portfolio balance effect, these two variables should be negatively related. However, since the evidence from traditional ordinary least squares estimation is not favorable, the quantile regression model is adopted to observe the various relationships between stock and foreign exchange markets. The results show an interesting pattern in the relation of these two markets in Asia, which indicates that the negative relation between stock and foreign exchange markets is more obvious when exchange rates are extremely high or low.[ABSTRACT FROM AUTHOR]

作者所屬機構:

          Department of Finance, National University of Kaohsiung, No. 700, Kaohsiung University Rd.,

Nanzih District, 811 Kaohsiung, Taiwan, ROC. Tel.: +886 7 5919767; fax: +886 7 5919239.

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國際金融專題期中報告： 10392009 國際金融專題期中報告 張氏秋香