The Impact of UIRP on The Forecasting Ability to Exchange Rates
| Autor: | Shih-Ting Chou, 周士鼎 |
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| Rok vydání: | 2018 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 106 This study mainly investigates whether the exchange rate fulfill the UIRP analysis will affect the ability of exchange rate forecasting. Our target countries are those who follow China''s “One Belt and One Road” policy. The data we implemented is monthly data, from 1997 M1 to 2017 M12. We forecasted for the preceding four forecasting horizons (1,3,6,12). Countries that meet the UIRP are Israel, Pakistan, Russia, Indonesia, and Ukraine; countries that do not meets UIRP are Malaysia, the Philippines, Singapore, and Taiwan. In terms of exchange rate forecasting ability. The best performers in predicting exchange rate are the country of Philippines and Israel, and the rest of the countries are not perform better than random walks. According to our study, It cannot tell whether fulfilling the UIRP would affect the performance of predicting ability. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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