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A Vector Autoregressive Forecasting Model of The US$/$A Exchange Rate

Author

Listed:
  • Lindsay I. Hogan

    (Bureau of Agricultural Economics, Canberra.)

  • Peter J. Urban

    (Bureau of Agricultural Economics, Canberra.)

  • V. V. Anh

    (Queensland Institute of Technology, Brisbane.)

Abstract

A forecasting model of the US$/$A exchange rate is derived through the application of vector autoregression (VAR) techniques. The major theoretical models of exchange rate determination are reviewed to identify relevant variables to include in the VAR model. For the within-sample period of September 1974 to May 1983, the VAR forecasts are found to be clearly superior to the naive no-charge extrapolated forecasts. However, the position is reversed when the out-of-sample forecasts are examined.

Suggested Citation

  • Lindsay I. Hogan & Peter J. Urban & V. V. Anh, 1985. "A Vector Autoregressive Forecasting Model of The US$/$A Exchange Rate," Australian Journal of Management, Australian School of Business, vol. 10(2), pages 47-65, December.
    • Handle: RePEc:sae:ausman:v:10:y:1985:i:2:p:47-65
    DOI: 10.1177/031289628501000203
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    References listed on IDEAS

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    5. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    6. Cornell, Bradford, 1983. "The Money Supply Announcements Puzzle: Review and Interpretation," American Economic Review, American Economic Association, vol. 73(4), pages 644-657, September.
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