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Modelli non lineari per i tassi di cambio: un confronto previsivo

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Gianna Boero ()
Emanuela Marrocu ()

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Abstract

In recent years there has been a considerable development in time seriesanalysis, represented mainly by alternative linear models able to describe more adequately the short and long term dynamics and by the renewed interest in modelling nonlinearities and asymmetries in economic and financial variables. Given the relevance of such variables in devising economic and monetary policy, it is of theoretical, as well as practical, importance to propose statistical methods appropriate to represent their dynamic behaviour. The aim of this work is to compare the forecasting performance of different models for the returns of some of the most traded exchange rates, namely the French Franc (FF/$), the German Mark (DM/$) and the Japanese Yen (Y/$). We compare the relative performance of some nonlinear models and contrast them with their simpler linear counterparts. Although we find evidence of noticeable forecasting gains from nonlinear models, the results are sensitive to the metric adopted to measure the forecasting accuracy.e.

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Paper provided by Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia in its series Working Paper CRENoS with number 199914.

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Date of creation: 1999
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Handle: RePEc:cns:cnscwp:199914

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Pesaran, M Hashem & Timmermann, Allan, 1992. "A Simple Nonparametric Test of Predictive Performance," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 561-65, October.
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  2. Meese, Richard A & Rose, Andrew K, 1991. "An Empirical Assessment of Non-linearities in Models of Exchange Rate Determination," Review of Economic Studies, Blackwell Publishing, vol. 58(3), pages 603-19, May. [Downloadable!] (restricted)
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  3. David Peel & Alan Speight, 1994. "Testing for non-linear dependence in inter-war exchange rates," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 130(2), pages 391-417, June. [Downloadable!] (restricted)
  4. Zakoian, Jean-Michel, 1994. "Threshold heteroskedastic models," Journal of Economic Dynamics and Control, Elsevier, vol. 18(5), pages 931-955, September. [Downloadable!] (restricted)
  5. Clements, M.P. & Smith, J., 1998. "Non-Linearities in Exchange Rates," The Warwick Economics Research Paper Series (TWERPS) 504, University of Warwick, Department of Economics.
  6. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March. [Downloadable!] (restricted)
  7. Brooks, Christopher, 1996. "Testing for Non-linearity in Daily Sterling Exchange Rates," Applied Financial Economics, Taylor and Francis Journals, vol. 6(4), pages 307-17, August. [Downloadable!] (restricted)
  8. Clements, M.P. & Hendry, D.F., 1992. "Forecasting in Cointegrated Systems," Economics Series Working Papers 99139, University of Oxford, Department of Economics.
  9. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, vol. 28(3-4), pages 315-332, May. [Downloadable!] (restricted)
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  10. Krager, Horst & Kugler, Peter, 1993. "Non-linearities in foreign exchange markets: a different perspective," Journal of International Money and Finance, Elsevier, vol. 12(2), pages 195-208, April. [Downloadable!] (restricted)
  11. Clements, M.P. & Hendry, D., 1992. "On the Limitations of Comparing Mean Square Forecast Errors," Economics Series Working Papers 99138, University of Oxford, Department of Economics.
  12. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
  13. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. L. Robin Keller & Elisabetta Strazzera, 2000. "Examining predictive models among discounting models," Working Paper CRENoS 200005, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
  2. C. Antonelli & R. Marchionatti & Stefano Usai, 2000. "Productivity and External Knowledge: The Italian Case," Working Paper CRENoS 200009, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
  3. Robin Naylor, 2001. "Firm profits and the number of firms under unionised oligopoly," Working Paper CRENoS 200109, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
  4. Robin Naylor, 2001. "Industry profits and market size under bilateral oligopoly," Working Paper CRENoS 200108, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
  5. M. Musumeci, 2000. "Innovazione tecnologica e beni culturali. Uno studio sulla situazione della Sicilia," Working Paper CRENoS 200008, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
  6. Gianna Boero & Emanuela Marrocu, 2001. "Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns," Working Paper CRENoS 200110, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
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