Forecasting the daily exchange rate of the UK pound sterling against the US dollar

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-11-13 DOI:10.1016/j.frl.2024.106451

Zsolt Darvas, Zoltán Schepp

引用次数: 0

Abstract

This paper is the first to use an economic theory-based model—the monetary model of exchange rates within a rational expectations present value framework—to forecast the daily exchange rate of a major currency. Our out-of-sample forecast evaluation period, spanning from 1990 to 2024, is longer than that of any other exchange rate forecasting study. We find that our model's forecasts outperform the random walk across all forecasting horizons, ranging from one day to five years. Moreover, a trading strategy based on our model's forecasts yields economically and statistically significant excess returns, surpassing those of the carry trade strategy.

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预测英镑对美元的每日汇率

本文首次使用基于经济理论的模型--理性预期现值框架下的汇率货币模型--预测主要货币的每日汇率。我们的样本外预测评估期从 1990 年到 2024 年，比其他任何汇率预测研究的评估期都要长。我们发现，在从一天到五年的所有预测期限内，我们模型的预测结果都优于随机漫步预测结果。此外，基于我们模型预测的交易策略产生了经济上和统计上显著的超额收益，超过了套利交易策略。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

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