In Search of a Warning Strategy Against Exchange-rate Attacks: Forecasting Tactics Using Artificial Neural Networks
AbstractThe contribution that this paper aspires to make is the prediction of an oncoming attack against the domestic currency, something that is expected to increase the possibilities of successful hedging by the authorities. The analysis has focused on the Greek Drachma,which has suffered a series of attacks during the past few years, thus offering a variety of such "shock" incidents accompanied by frequent interventions by the authorities. The prediction exercised here is performed in a discrete dynamics environment, based on the daily fluctuations of the interbank overnight interest rate, using artificial neural networks enhanced by genetic algorithms. The results obtained on the basis of the forecasting performance have been considered most encouraging, in providing a successful prediction of an oncoming attack against the domestic currency.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 18197.
Date of creation: Mar 2000
Date of revision:
Shocks; Interest-rate; Forecasting; Neural-networks; Genetic algorithms;
Find related papers by JEL classification:
- O24 - Economic Development, Technological Change, and Growth - - Development Planning and Policy - - - Trade Policy; Factor Movement; Foreign Exchange Policy
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
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.:
- West, K.D. & Cho, D., 1993.
"The Predictive Ability of Several Models of Exchange Rate Volatility,"
9317, Wisconsin Madison - Social Systems.
- West, Kenneth D. & Cho, Dongchul, 1995. "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, Elsevier, vol. 69(2), pages 367-391, October.
- West, K.D. & Cho, D., 1993. "The Predictive Ability of Several Models of Exchange Rate Volatility," Working papers 9317r, Wisconsin Madison - Social Systems.
- Kenneth D. West & Dongchul Cho, 1994. "The Predictive Ability of Several Models of Exchange Rate Volatility," NBER Technical Working Papers 0152, National Bureau of Economic Research, Inc.
- Andreou, A. & Georgakopoulos, E. & Likothanassis, S. & Zombanakis, George A., 1998. "Testing Currency Predictability Using An Evolutionary Neural Network Model," MPRA Paper 51483, University Library of Munich, Germany, revised 24 Mar 1998.
- Koedijk, Kees G & Kool, Clemens J M, 1994.
"Tail Estimates and the EMS Target Zone,"
Review of International Economics,
Wiley Blackwell, vol. 2(2), pages 153-65, June.
- Marsh, Ian W. & Power, David M., 1996. "A note on the performance of foreign exchange forecasters in a portfolio framework," Journal of Banking & Finance, Elsevier, vol. 20(3), pages 605-613, April.
- Pierre Siklos & Rod Tarajos, 1996. "Fundamentals and devaluation expectations in target zones: Some new evidence from the ERM," Open Economies Review, Springer, vol. 7(1), pages 35-59, January.
- Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
- Pavlos Karadeloglou & Christos Papazoglou & George Zombanakis, 1998. "Is the Exchange Rate an Effective Anti-inflationary Policy Instrument?," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 2(1), pages 47-72, Summer.
- Andrew Berg & Catherine Pattillo, 1999.
"Are Currency Crises Predictable? A Test,"
IMF Staff Papers,
Palgrave Macmillan, vol. 46(2), pages 1.
- Andreou, A. S. & Zombanakis, George A. & Likothanassis, S. D. & Georgakopoulos, E., 1998. "Modeling And Forecasting Exchange-Rate Shocks," MPRA Paper 51539, University Library of Munich, Germany, revised 06 Jun 1998.
- Brissimis, Sophocles N. & Leventakis, John A., 1989. "The effectiveness of devaluation: A general equilibrium assessment with reference to Greece," Journal of Policy Modeling, Elsevier, vol. 11(2), pages 247-271.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.