Contents of the volume

2018, Volume 71 - Issue 2

ISSN: 2499-8265
RSS feed citation: At RePEc
Publication date: 02 May 2018

SOME INTERNATIONAL FINANCIAL CONTRIBUTIONS: EMPIRICAL RESULTS AND POLICY IMPLICATIONS

Amedeo Amato

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ASSESSING PORTFOLIO MARKET RISK IN THE BRICS ECONOMIES: USE OF MULTIVARIATE GARCH MODELS

Lumengo Bonga-Bonga, Lebogang NLEYA

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BANK COMPETITION, CONCENTRATION AND RISK-TAKING IN THE UAE BANKING INDUSTRY

Aktham Maghyereh

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LINEAR AND NONLINEAR ATTRACTORS IN PURCHASING POWER PARITY

Imad Moosa, Ming MA

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DIRECT AND INDIRECT FORECASTING OF CROSS EXCHANGE RATES

Imad Moosa, John VAZ

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DOES THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE HOLD IN KOREA AFTER THE ASIAN FINANCIAL CRISIS? SOME EMPIRICAL EVIDENCE (1999-2017)

Marco Tronzano

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Genoa Chamber of Commerce
Economia Internazionale / International Economics

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Corresponding author

Imad MOOSA, School of Economics, Finance and Marketing, RMIT University, Melbourne, Australia

Co-authors

John VAZ, Department of Accounting and Finance, Monash University, Clayton, Victoria, Australia

Direct and Indirect Forecasting of Cross Exchange Rates

Pages

173-190

Abstract

The objective of this paper is to determine whether direct forecasting is more or less accurate than indirect forecasting when applied to the cross exchange rate as a defined variable. By using the flexible price monetary model to represent three cross rates, the results show that indirect forecasting is better than direct forecasting, when forecasting accuracy is measured in terms of the root mean square error (RMSE), for two of the three cross rates examined while the opposite is true for the third rate. However, no difference is apparent when performance is measured in terms of directional accuracy. It is concluded that the choice between direct and indirect forecasting is an empirical issue and that the results of such an exercise are case-specific.

JEL classification

C53, F31, F37

Keywords

Forecasting, Random Walk, Exchange Rate Models, Cross Exchange Rates

Index

  1. Introduction
  2. Direct versus indirect forecasting
  3. Methodology
  4. Data and empirical results
  5. Conclusion

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