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Exchange Rate Forecast: a New Approach for Armenian Dram

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  • Edward Sandoyan
  • David Manukyan

Abstract

The paper contains an analysis of advantages and drawbacks of existing modeling approaches to exchange rate forecast and currency risk management. The behavioral features of foreign exchange market participants and their impact on market’s long-term memory were analyzed after the onset of significant events. Special attention was paid to the “Pareto distribution series” to find the point values of the rates that form the trends and determine the trajectory of currency rates. Based on the existing researches of FX rate prediction models authors developed an alternative approach that gives more accurate forecasts of the FX rates and, respectively, currency risk assessment in national banking systems. Copyright CEEUN 2013

Suggested Citation

  • Edward Sandoyan & David Manukyan, 2013. "Exchange Rate Forecast: a New Approach for Armenian Dram," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), vol. 20(2), pages 159-177, October.
    • Handle: RePEc:spr:trstrv:v:20:y:2013:i:2:p:159-177
    DOI: 10.1007/s11300-013-0283-5
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    References listed on IDEAS

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    1. Wai-Ki Ching & Michael K. Ng, 2006. "Markov Chains: Models, Algorithms and Applications," International Series in Operations Research and Management Science, Springer, number 978-0-387-29337-0, September.
    2. Mr. Fabian Valencia & Mr. Luc Laeven, 2012. "Systemic Banking Crises Database: An Update," IMF Working Papers 2012/163, International Monetary Fund.
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    More about this item

    Keywords

    FX Market; FX Risk; Banking system and math modeling; E31; E47;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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