Forecasting the US Dollar / Euro Exchange rate Using ARMA Models

Save this PDF as:
 WORD  PNG  TXT  JPG

Size: px
Start display at page:

Download "Forecasting the US Dollar / Euro Exchange rate Using ARMA Models"

Transcription

1 Forecasting the US Dollar / Euro Exchange rate Using ARMA Models LIUWEI ( ) - 1 -

2 ABSTRACT INTRODUCTION DATA ANALYSIS Stationary estimation Dickey-Fuller Test MODEL CREATION AR Model MA Model ARMA Models COMPARING THE MODELS FORECASTING WITH THE BEST MODEL REFERENCE

3 Abstract The aim of this paper is to forecast the exchange rate of US Dollar / Euro in the month of February 2005, using different methods, such as AR, MA, and ARIMA. Comparing the models by the Schwarz criterion, the best model is selected. The Euro/ Us Dollar exchange rate data is selected from the Austrian National Bank statistical data base

4 1. Introduction We could see here the data of the exchange rate of US Dollar / Euro from the beginning 1999 till end of 2004, total 1537 observations. The data points for the year 1999 are 1 to 259, for 2000 they are 260 to 514, for 2001 they are 515 to 769, for 2002 they are 770 to 1023, for 2003 they are 1024 to 1278, for 2004 they are 1279 to observations in the first month of 2005 are reserved for forecasting EXCHANGE_RATE - 4 -

5 The curve of the dollar/euro rate shown above tells the history of the Euro. At the introduction of the Euro the rate was almost 1.16 US dollars, and the rate went down for two years. In 2001 the exchange rate reached a minimum and after that year euro went up. In 2004 the Euro increased to almost 1.4 US dollars. I use linear Time Series Analysis as the tool for the empirical analysis, based on ARIMA models. 2. Data Analysis 2.1 Stationary estimation Stationary modeling is based on the assumption that the process is in a particular state of statistical equilibrium. A stochastic process is said to be strictly stationary if its properties are unaffected by a change of time origin. (Box and Jenkins) - 5 -

6 2.2 Dickey-Fuller Test A very simple way of determining whether the data is stationary or not, is a Unit Root Test. In the E-Views Software we use the Augmented Dickey Fuller Test. The following is the E-Views output of the test: Null Hypothesis: EXCHANGE_RATE has a unit root Exogenous: Constant Lag Length: 0 (Automatic based on SIC, MAXLAG=23) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(EXCHANGE_RATE) Method: Least Squares Sample(adjusted): Included observations: 1535 after adjusting endpoints Variable Coefficient Std. Error t-statistic Prob. EXCHANGE_RATE(-1) C R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood F-statistic Durbin-Watson stat Prob(F-statistic) In this version without added trend, the unit-root test confirms that there is a unit root in the data generating process (DGP). Thus, it appears that the DGP is not stationary

7 Next, we take first differences of the data and check whether this transformation implies stationarity. Now, the variable under investigation is called D(Exchange_Rate). Now we have that: Null Hypothesis: D(EXCHANGE_RATE) has a unit root Exogenous: None Lag Length: 0 (Automatic based on SIC, MAXLAG=12) t-statistic Prob.* Augmented Dickey-Fuller test statistic Test critical values: 1% level % level % level *MacKinnon (1996) one-sided p-values. Augmented Dickey-Fuller Test Equation Dependent Variable: D(EXCHANGE_RATE,2) Method: Least Squares Sample(adjusted): Included observations: 1534 after adjusting endpoints Variable Coefficient Std. Error t-statistic Prob. D(EXCHANGE_RAT E(-1)) R-squared Mean dependent var 4.17E-06 Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Durbin-Watson stat We see that there is no unit root in the differenced data. The differenced exchange rate appears to be stationary

8 3. Model Creation 3.1 AR Model Autoregressive models are often well suited for modeling economic time series. An autoregressive model of first order can be written as: X ρ X + e ; t = t 1 t In short, the value of today depends on the value of yesterday. I would like to say the behavior of the exchange market should be under some influence from the price increase of yesterday or the day before yesterday. I think we should use the AR(1) or AR(2) to estimate the first difference of the data

9 And we have that: EX_1 The graph shows the first difference of the exchange rate data that we found to be stationary. I first use the AR(1) model, that is: Dependent Variable: EX_1 Method: Least Squares Sample(adjusted): Included observations: 1534 after adjusting endpoints Convergence achieved after 3 iterations Variable Coefficient Std. Error t-statistic Prob. AR(1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Durbin-Watson stat Inverted AR Roots

10 3.2 MA Model The moving-average model can also be a good model for economic data. For example, the MA model of first order is: y t = 0 + at θ1at 1 φ. For the model estimate, we have that: Dependent Variable: EX_1 Method: Least Squares Sample(adjusted): Included observations: 1535 after adjusting endpoints Convergence achieved after 6 iterations Backcast: 1 Variable Coefficient Std. Error t-statistic Prob. MA(1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Durbin-Watson stat Inverted MA Roots

11 3.3 ARMA Models Also, the mixed ARMA model can be applied to first differences. For example, the ARMA(1,1) model is: X t = φ X t 1 + εt + θεt 1 The estimation output for the ARMA(1,1) specification is: Dependent Variable: EX_1 Method: Least Squares Sample(adjusted): Included observations: 1534 after adjusting endpoints Convergence achieved after 17 iterations Backcast: 2 Variable Coefficient Std. Error t-statistic Prob. AR(1) MA(1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Durbin-Watson stat Inverted AR Roots.52 Inverted MA Roots

12 4. Comparing the Models To choose the best model here, we should know the criterion first. Here I would like to choose the Schwarz criterion. The smaller the value of the Schwarz criterion, the better is the estimation. We collect here the values for all three models: the Schwarz criterion for AR(1) is ; for MA(1) it is ; and for ARMA(1,1) it is So here the best Model is MA(1). 5. Forecasting with the Best Model For the complete sample, MA(1) is the best. However, I would like to focus on the data after observation #800. Why I would like to choose the date after 800. First, from the graph, we can see the strong rising trend in the Euro/ Us Dollar exchange rate. Second, at the beginning of the year 2002, some political and monetary political issues has been changed. So the data after 800 is good for us to estimate the changes in the exchange rate

13 Now, we have: Dependent Variable: EX_1 Method: Least Squares Sample(adjusted): Included observations: 737 after adjusting endpoints Convergence achieved after 4 iterations Backcast: 799 Variable Coefficient Std. Error t-statistic Prob. MA(1) R-squared Mean dependent var Adjusted R-squared S.D. dependent var S.E. of regression Akaike info criterion Sum squared resid Schwarz criterion Log likelihood Durbin-Watson stat Inverted MA Roots.03 Forecasting results of the exchange rate for the data from 1537 to 1557 are as follows: EX_1F

14 A graph that includes the observations from #800 to #1536 as well as the forecasts is given below EX_1F The graph confirms that changes in the exchange rate are predicted as zero, except for the first step

15 6. Reference Fuller (1976): Introduction to Statistical Time Series; John Wiley. Box/ Jenkins (1976): Time Series Analysis, Forecasting and Control; Prentice-Hall Hall, Cuthbertson, Taylor (1992): Applied Econometric Techniques; Phillip Allan Mills (1990): Time series techniques for economists; Cambridge. Granger/ Newbold (1986): Forecasting economic time series; Academic Press Montgomery, Johnson, Gardiner (1990): Forecasting and Time series Analysis; McGraw-Hill Brockwell/ Davis (1991): Time Series: Theory and Methods; Springer Granger (1989): Forecasting in Business and Economics; Academic Press

Chapter 12: Time Series Models

Chapter 12: Time Series Models Chapter 12: Time Series Models In this chapter: 1. Estimating ad hoc distributed lag & Koyck distributed lag models (UE 12.1.3) 2. Testing for serial correlation in Koyck distributed lag models (UE 12.2.2)

More information

RELATIONSHIP BETWEEN STOCK MARKET VOLATILITY AND EXCHANGE RATE: A STUDY OF KSE

RELATIONSHIP BETWEEN STOCK MARKET VOLATILITY AND EXCHANGE RATE: A STUDY OF KSE RELATIONSHIP BETWEEN STOCK MARKET VOLATILITY AND EXCHANGE RATE: A STUDY OF KSE Waseem ASLAM Department of Finance and Economics, Foundation University Rawalpindi, Pakistan seem_aslam@yahoo.com Abstract:

More information

Forecasting Using Eviews 2.0: An Overview

Forecasting Using Eviews 2.0: An Overview Forecasting Using Eviews 2.0: An Overview Some Preliminaries In what follows it will be useful to distinguish between ex post and ex ante forecasting. In terms of time series modeling, both predict values

More information

Price volatility in the silver spot market: An empirical study using Garch applications

Price volatility in the silver spot market: An empirical study using Garch applications Price volatility in the silver spot market: An empirical study using Garch applications ABSTRACT Alan Harper, South University Zhenhu Jin Valparaiso University Raufu Sokunle UBS Investment Bank Manish

More information

3.1 Stationary Processes and Mean Reversion

3.1 Stationary Processes and Mean Reversion 3. Univariate Time Series Models 3.1 Stationary Processes and Mean Reversion Definition 3.1: A time series y t, t = 1,..., T is called (covariance) stationary if (1) E[y t ] = µ, for all t Cov[y t, y t

More information

Time Series Analysis

Time Series Analysis Time Series Analysis Identifying possible ARIMA models Andrés M. Alonso Carolina García-Martos Universidad Carlos III de Madrid Universidad Politécnica de Madrid June July, 2012 Alonso and García-Martos

More information

The relationship between stock market parameters and interbank lending market: an empirical evidence

The relationship between stock market parameters and interbank lending market: an empirical evidence Magomet Yandiev Associate Professor, Department of Economics, Lomonosov Moscow State University mag2097@mail.ru Alexander Pakhalov, PG student, Department of Economics, Lomonosov Moscow State University

More information

CONSOLIDATED EDISON COMPANY OF NEW YORK, INC. VOLUME FORECASTING MODELS. Variable Coefficient Std. Error t-statistic Prob.

CONSOLIDATED EDISON COMPANY OF NEW YORK, INC. VOLUME FORECASTING MODELS. Variable Coefficient Std. Error t-statistic Prob. PAGE 1 OF 6 SC 1 (RESIDENTIAL AND RELIGIOUS) Dependent Variable: DLOG(GWH17/BDA0,0,4) Convergence achieved after 16 iterations MA Backcast: 1987Q2 C 0.011618 0.003667 3.168199 0.002100 DLOG(PRICE17S(-3),0,4)

More information

Forecasting Thai Gold Prices

Forecasting Thai Gold Prices 1 Forecasting Thai Gold Prices Pravit Khaemasunun This paper addresses forecasting Thai gold price. Two forecasting models, namely, Multiple-Regression, and Auto-Regressive Integrated Moving Average (ARIMA),

More information

Time Series Analysis

Time Series Analysis Time Series Analysis Forecasting with ARIMA models Andrés M. Alonso Carolina García-Martos Universidad Carlos III de Madrid Universidad Politécnica de Madrid June July, 2012 Alonso and García-Martos (UC3M-UPM)

More information

Monitoring web traffic source effectiveness with Google Analytics An experiment with time series

Monitoring web traffic source effectiveness with Google Analytics An experiment with time series The current issue and full text archive of this journal is available at wwwemeraldinsightcom/0001-253xhtm AP 474 Received 9 July 2008 Revised 21 January 2009 Accepted 6 February 2009 Monitoring web traffic

More information

Source engine marketing: A preliminary empirical analysis of web search data

Source engine marketing: A preliminary empirical analysis of web search data Source engine marketing: A preliminary empirical analysis of web search data ABSTRACT Bruce Q. Budd Alfaisal University The purpose of this paper is to empirically investigate a website performance and

More information

Chapter 5: Basic Statistics and Hypothesis Testing

Chapter 5: Basic Statistics and Hypothesis Testing Chapter 5: Basic Statistics and Hypothesis Testing In this chapter: 1. Viewing the t-value from an OLS regression (UE 5.2.1) 2. Calculating critical t-values and applying the decision rule (UE 5.2.2) 3.

More information

2. Linear regression with multiple regressors

2. Linear regression with multiple regressors 2. Linear regression with multiple regressors Aim of this section: Introduction of the multiple regression model OLS estimation in multiple regression Measures-of-fit in multiple regression Assumptions

More information

Weather Normalization of MISO Historical Data Procedure

Weather Normalization of MISO Historical Data Procedure Weather Normalization of MISO Historical Data Procedure Goal The goal of this weather normalization work was to provide a preliminary methodology for weather normalization as MISO does not currently have

More information

TIME SERIES ANALYSIS OF CHINA S EXTERNAL DEBT COMPONENTS, FOREIGN EXCHANGE RESERVES AND ECONOMIC GROWTH RATES. Hüseyin Çetin

TIME SERIES ANALYSIS OF CHINA S EXTERNAL DEBT COMPONENTS, FOREIGN EXCHANGE RESERVES AND ECONOMIC GROWTH RATES. Hüseyin Çetin TIME SERIES ANALYSIS OF CHINA S EXTERNAL DEBT COMPONENTS, FOREIGN EXCHANGE RESERVES AND ECONOMIC GROWTH RATES Hüseyin Çetin Phd Business Administration Candidate Okan University Social Science Institute,

More information

The Simple Linear Regression Model: Specification and Estimation

The Simple Linear Regression Model: Specification and Estimation Chapter 3 The Simple Linear Regression Model: Specification and Estimation 3.1 An Economic Model Suppose that we are interested in studying the relationship between household income and expenditure on

More information

An estimate of an optimal level of inflation in Lesotho

An estimate of an optimal level of inflation in Lesotho and Economic Growth: An estimate of an optimal level of inflation in Lesotho By Monaheng Seleteng Senior Economist Research Department Abstract: This study seeks to estimate the optimal level of inflation,

More information

Air passenger departures forecast models A technical note

Air passenger departures forecast models A technical note Ministry of Transport Air passenger departures forecast models A technical note By Haobo Wang Financial, Economic and Statistical Analysis Page 1 of 15 1. Introduction Sine 1999, the Ministry of Business,

More information

Turkey s Energy Demand

Turkey s Energy Demand Current Research Journal of Social Sciences 1(3): 123-128, 2009 ISSN: 2041-3246 Maxwell Scientific Organization, 2009 Submitted Date: September 28, 2009 Accepted Date: October 12, 2009 Published Date:

More information

Advanced Forecasting Techniques and Models: ARIMA

Advanced Forecasting Techniques and Models: ARIMA Advanced Forecasting Techniques and Models: ARIMA Short Examples Series using Risk Simulator For more information please visit: www.realoptionsvaluation.com or contact us at: admin@realoptionsvaluation.com

More information

Performing Unit Root Tests in EViews. Unit Root Testing

Performing Unit Root Tests in EViews. Unit Root Testing Página 1 de 12 Unit Root Testing The theory behind ARMA estimation is based on stationary time series. A series is said to be (weakly or covariance) stationary if the mean and autocovariances of the series

More information

Eviews Tutorial. File New Workfile. Start observation End observation Annual

Eviews Tutorial. File New Workfile. Start observation End observation Annual APS 425 Professor G. William Schwert Advanced Managerial Data Analysis CS3-110L, 585-275-2470 Fax: 585-461-5475 email: schwert@schwert.ssb.rochester.edu Eviews Tutorial 1. Creating a Workfile: First you

More information

Relationship among Poverty, Education Expenditure, and Education Status: Empirical Evidence from Pakistan

Relationship among Poverty, Education Expenditure, and Education Status: Empirical Evidence from Pakistan , July 3-5, 2013, London, U.K. Relationship among Poverty, Education Expenditure, and Education Status: Empirical Evidence from Pakistan Zahid Ahmad and Tayyaba Batul Abstract Poverty and ignorance is

More information

THE CORRELATION BETWEEN UNEMPLOYMENT AND REAL GDP GROWTH. A STUDY CASE ON ROMANIA

THE CORRELATION BETWEEN UNEMPLOYMENT AND REAL GDP GROWTH. A STUDY CASE ON ROMANIA THE CORRELATION BETWEEN UNEMPLOYMENT AND REAL GDP GROWTH. A STUDY CASE ON ROMANIA Dumitrescu Bogdan Andrei The Academy of Economic Studies Faculty of Finance, Insurance, Banking and Stock Exchange 6, Romana

More information

Sacred Heart University John F. Welch College of Business

Sacred Heart University John F. Welch College of Business Sacred Heart University John F. Welch College of Business CONNECTICUT ECONOMIC OUTLOOK for 2013-2015: A Perspective from Sacred Heart University Students in Business Economics Final Research Project for

More information

Toward Efficient Management of Working Capital: The case of the Palestinian Exchange

Toward Efficient Management of Working Capital: The case of the Palestinian Exchange Journal of Applied Finance & Banking, vol.2, no.1, 2012, 225-246 ISSN: 1792-6580 (print version), 1792-6599 (online) International Scientific Press, 2012 Toward Efficient Management of Working Capital:

More information

ANALYSIS OF THE LIFE INSURANCE MARKET IN THE REPUBLIC OF MACEDONIA

ANALYSIS OF THE LIFE INSURANCE MARKET IN THE REPUBLIC OF MACEDONIA ECONOMIC ANNALS, Volume LVII, No. 194 / July September 2012 UDC: 3.33 ISSN: 0013-3264 DOI:10.2298/EKA1294107A Cvetko Andreeski* Bratislav Milošević** Vladimir Njegomir*** ANALYSIS OF THE LIFE INSURANCE

More information

STAFF WORKING PAPER. The Relationship between Sustainable Growth and the Riskfree Rate: Evidence from UK Government Gilts. Staff Working Paper 2012.

STAFF WORKING PAPER. The Relationship between Sustainable Growth and the Riskfree Rate: Evidence from UK Government Gilts. Staff Working Paper 2012. STAFF WORKING PAPER The Relationship between Sustainable Growth and the Riskfree Rate: Evidence from UK Government Gilts Staff Working Paper 2012.1 Andrew Lilico & Stefano Ficco January 2012 FOREWORD Europe

More information

Chapter 6: Multivariate Cointegration Analysis

Chapter 6: Multivariate Cointegration Analysis Chapter 6: Multivariate Cointegration Analysis 1 Contents: Lehrstuhl für Department Empirische of Wirtschaftsforschung Empirical Research and und Econometrics Ökonometrie VI. Multivariate Cointegration

More information

Determinants of Stock Market Performance in Pakistan

Determinants of Stock Market Performance in Pakistan Determinants of Stock Market Performance in Pakistan Mehwish Zafar Sr. Lecturer Bahria University, Karachi campus Abstract Stock market performance, economic and political condition of a country is interrelated

More information

Econometrics I: Econometric Methods

Econometrics I: Econometric Methods Econometrics I: Econometric Methods Jürgen Meinecke Research School of Economics, Australian National University 24 May, 2016 Housekeeping Assignment 2 is now history The ps tute this week will go through

More information

Forecasting of Gold Prices (Box Jenkins Approach)

Forecasting of Gold Prices (Box Jenkins Approach) Forecasting of Gold Prices (Box Jenkins Approach) Dr. M. Massarrat Ali Khan College of Computer Science and Information System, Institute of Business Management, Korangi Creek, Karachi Abstract In recent

More information

On the Degree of Openness of an Open Economy Carlos Alfredo Rodriguez, Universidad del CEMA Buenos Aires, Argentina

On the Degree of Openness of an Open Economy Carlos Alfredo Rodriguez, Universidad del CEMA Buenos Aires, Argentina On the Degree of Openness of an Open Economy Carlos Alfredo Rodriguez, Universidad del CEMA Buenos Aires, Argentina car@cema.edu.ar www.cema.edu.ar\~car Version1-February 14,2000 All data can be consulted

More information

Chapter 9: Univariate Time Series Analysis

Chapter 9: Univariate Time Series Analysis Chapter 9: Univariate Time Series Analysis In the last chapter we discussed models with only lags of explanatory variables. These can be misleading if: 1. The dependent variable Y t depends on lags of

More information

Is the Forward Exchange Rate a Useful Indicator of the Future Exchange Rate?

Is the Forward Exchange Rate a Useful Indicator of the Future Exchange Rate? Is the Forward Exchange Rate a Useful Indicator of the Future Exchange Rate? Emily Polito, Trinity College In the past two decades, there have been many empirical studies both in support of and opposing

More information

IMPACT OF WORKING CAPITAL MANAGEMENT ON PROFITABILITY

IMPACT OF WORKING CAPITAL MANAGEMENT ON PROFITABILITY IMPACT OF WORKING CAPITAL MANAGEMENT ON PROFITABILITY Hina Agha, Mba, Mphil Bahria University Karachi Campus, Pakistan Abstract The main purpose of this study is to empirically test the impact of working

More information

Lecture 2: ARMA(p,q) models (part 3)

Lecture 2: ARMA(p,q) models (part 3) Lecture 2: ARMA(p,q) models (part 3) Florian Pelgrin University of Lausanne, École des HEC Department of mathematics (IMEA-Nice) Sept. 2011 - Jan. 2012 Florian Pelgrin (HEC) Univariate time series Sept.

More information

European Journal of Business and Management ISSN 2222-1905 (Paper) ISSN 2222-2839 (Online) Vol.5, No.30, 2013

European Journal of Business and Management ISSN 2222-1905 (Paper) ISSN 2222-2839 (Online) Vol.5, No.30, 2013 The Impact of Stock Market Liquidity on Economic Growth in Jordan Shatha Abdul-Khaliq Assistant Professor,AlBlqa Applied University, Jordan * E-mail of the corresponding author: yshatha@gmail.com Abstract

More information

THE IMPORTANCE OF GOODS PRODUCTION AND INTERMEDIATE CONSUMPTION FOR AN INCREASED GDP

THE IMPORTANCE OF GOODS PRODUCTION AND INTERMEDIATE CONSUMPTION FOR AN INCREASED GDP THE IMPORTANCE OF GOODS PRODUCTION AND INTERMEDIATE CONSUMPTION FOR AN INCREASED GDP RADU-MARCEL JOIA * Abstract Human existence is conditioned, of course, by the consumption of goods to meet the needs.

More information

Empirical Analysis of Housing Prices in Chinese Market

Empirical Analysis of Housing Prices in Chinese Market International Journal of Trade, Economics and Finance, Vol., No. 5, October 2012 Empirical Analysis of Housing Prices in Chinese Market Jieqiong Wang and Dejun Xie Abstract This work constitutes, in part,

More information

DOLLAR DEPRECIATION WILL NOT CONTRIBUTE TO U.S. INFLATION

DOLLAR DEPRECIATION WILL NOT CONTRIBUTE TO U.S. INFLATION DOLLAR DEPRECIATION WILL NOT CONTRIBUTE TO U.S. INFLATION Alan C. Stockman University of Rochester Prepared for the May 2, 2004 Meeting of the Shadow Open Market Committee Over the last 2 years, the dollar

More information

MACRO ECONOMIC PATTERNS AND STORIES. Is Your Job Cyclical?

MACRO ECONOMIC PATTERNS AND STORIES. Is Your Job Cyclical? Is Your Job at Risk? Page 1 of 8 Is Your Job Cyclical? Accessing the website of the Bureau of Labor Statistics Finding out about the ups and downs of your job Total Nonfarm Employment is illustrated in

More information

ITSM-R Reference Manual

ITSM-R Reference Manual ITSM-R Reference Manual George Weigt June 5, 2015 1 Contents 1 Introduction 3 1.1 Time series analysis in a nutshell............................... 3 1.2 White Noise Variance.....................................

More information

UK GDP is the best predictor of UK GDP, literally.

UK GDP is the best predictor of UK GDP, literally. UK GDP IS THE BEST PREDICTOR OF UK GDP, LITERALLY ERIK BRITTON AND DANNY GABAY 6 NOVEMBER 2009 UK GDP is the best predictor of UK GDP, literally. The ONS s preliminary estimate of UK GDP for the third

More information

International Business & Economics Research Journal December 2006 Volume 5, Number 12

International Business & Economics Research Journal December 2006 Volume 5, Number 12 Performance Of Deterministic And Stochastic Trends Models In Forecasting The Behavior Of The Canadian Dollar And The Japanese Yen Against The US Dollar Arav Ouandlous, (Email: ouandlou@savstate.edu), Savannah

More information

TOTAL FACTOR PRODUCTIVITY AND ECONOMIC GROWTH

TOTAL FACTOR PRODUCTIVITY AND ECONOMIC GROWTH İstanbul Ticaret Üniversitesi Sosyal Bilimler Dergisi Yıl:8 Sayı:15 Bahar 2009 s.49-56 TOTAL FACTOR PRODUCTIVITY AND ECONOMIC GROWTH Mehmet ADAK * ABSTRACT The causality between TFP (Total Factor Productivity)

More information

UNIT ROOT TESTING TO HELP MODEL BUILDING. Lavan Mahadeva & Paul Robinson

UNIT ROOT TESTING TO HELP MODEL BUILDING. Lavan Mahadeva & Paul Robinson Handbooks in Central Banking No. 22 UNIT ROOT TESTING TO HELP MODEL BUILDING Lavan Mahadeva & Paul Robinson Series editors: Andrew Blake & Gill Hammond Issued by the Centre for Central Banking Studies,

More information

Examining the Relationship between ETFS and Their Underlying Assets in Indian Capital Market

Examining the Relationship between ETFS and Their Underlying Assets in Indian Capital Market 2012 2nd International Conference on Computer and Software Modeling (ICCSM 2012) IPCSIT vol. 54 (2012) (2012) IACSIT Press, Singapore DOI: 10.7763/IPCSIT.2012.V54.20 Examining the Relationship between

More information

Competition as an Effective Tool in Developing Social Marketing Programs: Driving Behavior Change through Online Activities

Competition as an Effective Tool in Developing Social Marketing Programs: Driving Behavior Change through Online Activities Competition as an Effective Tool in Developing Social Marketing Programs: Driving Behavior Change through Online Activities Corina ŞERBAN 1 ABSTRACT Nowadays, social marketing practices represent an important

More information

PRICING OF FOREIGN CURRENCY OPTIONS IN THE SERBIAN MARKET

PRICING OF FOREIGN CURRENCY OPTIONS IN THE SERBIAN MARKET ECONOMIC ANNALS, Volume LIV, No. 180, January March 2009 UDC: 3.33 ISSN: 0013-3264 COMMUNICATIONS Irena Janković* DOI:10.2298/EKA0980091J PRICING OF FOREIGN CURRENCY OPTIONS IN THE SERBIAN MARKET ABSTRACT:

More information

THE UNIVERSITY OF CHICAGO, Booth School of Business Business 41202, Spring Quarter 2014, Mr. Ruey S. Tsay. Solutions to Homework Assignment #2

THE UNIVERSITY OF CHICAGO, Booth School of Business Business 41202, Spring Quarter 2014, Mr. Ruey S. Tsay. Solutions to Homework Assignment #2 THE UNIVERSITY OF CHICAGO, Booth School of Business Business 41202, Spring Quarter 2014, Mr. Ruey S. Tsay Solutions to Homework Assignment #2 Assignment: 1. Consumer Sentiment of the University of Michigan.

More information

What drove Irish Government bond yields during the crisis?

What drove Irish Government bond yields during the crisis? What drove Irish Government bond yields during the crisis? David Purdue and Rossa White, September 2014 1. Introduction The Irish Government bond market has been exceptionally volatile in the seven years

More information

Time Series - ARIMA Models. Instructor: G. William Schwert

Time Series - ARIMA Models. Instructor: G. William Schwert APS 425 Fall 25 Time Series : ARIMA Models Instructor: G. William Schwert 585-275-247 schwert@schwert.ssb.rochester.edu Topics Typical time series plot Pattern recognition in auto and partial autocorrelations

More information

Testing weak form efficiency of capital markets: A case of Pakistan

Testing weak form efficiency of capital markets: A case of Pakistan International Journal of Research Studies in Management 2014 April, Volume 3 Number 1, 65-73 Testing weak form efficiency of capital markets: A case of Pakistan Rehman, Sania National Defence University,

More information

Medical Net Discount Rates:

Medical Net Discount Rates: Medical Net Discount Rates: An Investigation into the Total Offset Approach Andrew G. Kraynak Fall 2011 COLLEGE OF THE HOLY CROSS ECONOMICS DEPARTMENT HONORS PROGRAM Motivation When estimating the cost

More information

Intertemporal Effects of Online Advertising Channels on Customers

Intertemporal Effects of Online Advertising Channels on Customers International Journal of Business and Social Science Vol. 5, No. 9; August 2014 Intertemporal Effects of Online Advertising Channels on Customers Mohammad Almotairi Department of Marketing College of Business

More information

Chapter 5: Bivariate Cointegration Analysis

Chapter 5: Bivariate Cointegration Analysis Chapter 5: Bivariate Cointegration Analysis 1 Contents: Lehrstuhl für Department Empirische of Wirtschaftsforschung Empirical Research and und Econometrics Ökonometrie V. Bivariate Cointegration Analysis...

More information

Applied Econometrics and International Development Vol. 12-1 (2012)

Applied Econometrics and International Development Vol. 12-1 (2012) MERCHANDISE EXPORT DEMAND FUNCTION FOR EGYPT: A PANEL DATA ANALYSIS IBRAHIM, Mohamed Abbas 1 Abstract This study empirically estimates the critical parameters of merchandise export demand function for

More information

Econ 371 Exam #4 - Practice

Econ 371 Exam #4 - Practice Econ 37 Exam #4 - Practice Multiple Choice (5 points each): For each of the following, select the single most appropriate option to complete the statement. ) The following will not cause correlation between

More information

Unemployment and Inflation in Malaysia: Evidence from Error Correction Model

Unemployment and Inflation in Malaysia: Evidence from Error Correction Model Malaysian Journal of Business and Economics Vol. 1, No. 1, June 2014, 35 45 ISSN 2289-6856 Unemployment and Inflation in Malaysia: Evidence from Error Correction Model Fumitaka Furuoka a and Qaiser Munir

More information

Unemployment and Inflation in the Philippines: New Evidence from Vector Error Correction Model

Unemployment and Inflation in the Philippines: New Evidence from Vector Error Correction Model Philippine Journal of Development Number 64, First Semester 2008 Volume XXXV, Number 1 Unemployment and Inflation in the Philippines: New Evidence from Vector Error Correction Model FUMITAKA FURUOKA* ABSTRACT

More information

MINISTRY OF EDUCATION AND SCIENCE OF THE REPUBLIC OF KAZAKHSTAN SULEYMAN DEMIREL UNIVERSITY FACULTY OF ECNOMICS

MINISTRY OF EDUCATION AND SCIENCE OF THE REPUBLIC OF KAZAKHSTAN SULEYMAN DEMIREL UNIVERSITY FACULTY OF ECNOMICS MINISTRY OF EDUCATION AND SCIENCE OF THE REPUBLIC OF KAZAKHSTAN SULEYMAN DEMIREL UNIVERSITY FACULTY OF ECNOMICS CONFIRM Vice-rector on Academic Affairs Mr. Halit Yilmaz 2009 Educational Program: Baccalaureate

More information

Causality between Government Expenditure and National Income: Evidence from Sudan. Ebaidalla Mahjoub Ebaidalla 1

Causality between Government Expenditure and National Income: Evidence from Sudan. Ebaidalla Mahjoub Ebaidalla 1 Journal of Economic Cooperation and Development, 34, 4 (2013), 61-76 Causality between Government Expenditure and National Income: Evidence from Sudan Ebaidalla Mahjoub Ebaidalla 1 This study aims to determine

More information

JOHANNES TSHEPISO TSOKU NONOFO PHOKONTSI DANIEL METSILENG FORECASTING SOUTH AFRICAN GOLD SALES: THE BOX-JENKINS METHODOLOGY

JOHANNES TSHEPISO TSOKU NONOFO PHOKONTSI DANIEL METSILENG FORECASTING SOUTH AFRICAN GOLD SALES: THE BOX-JENKINS METHODOLOGY DOI: 0.20472/IAC.205.08.3 JOHANNES TSHEPISO TSOKU North West University, South Africa NONOFO PHOKONTSI North West University, South Africa DANIEL METSILENG Department of Health, South Africa FORECASTING

More information

Relationship between Exchange Rates and Stock Market Index: Evidence from the Pakistani Stock Market

Relationship between Exchange Rates and Stock Market Index: Evidence from the Pakistani Stock Market Relationship between Exchange Rates and Stock Market Index: Evidence from the Pakistani Stock Market Anjum Ihsan Assistant Professor, Department of Management Sciences, Abasyn University, Peshawar Qadar

More information

Advances in Economics and Business 4(5): , 2016 DOI: /aeb

Advances in Economics and Business 4(5): , 2016 DOI: /aeb Advances in Economics and Business 4(5): 222-244, 2016 DOI: 10.13189/aeb.2016.040503 http://www.hrpub.org Impact of Inflation and on Economic Growth in Ten (10) Selected Member s States of Economic Community

More information

The Effect of Seasonality in the CPI on Indexed Bond Pricing and Inflation Expectations

The Effect of Seasonality in the CPI on Indexed Bond Pricing and Inflation Expectations The Effect of Seasonality in the CPI on Indexed Bond Pricing and Inflation Expectations Roy Stein* *Research Department, Roy Stein roy.stein@boi.org.il, tel: 02-6552559 This research was partially supported

More information

VOL. 2, NO. 1, March 2013 International Journal of Economics, Finance and Management All rights reserved.

VOL. 2, NO. 1, March 2013 International Journal of Economics, Finance and Management All rights reserved. GDP and Unemployment Rate in Turkey: An Empirical Study using Neural Networks ¹Mounir Ben Mbarek, ²Rochdi Feki ¹ PhD, Department of Economics, University of Management and Economic Sciences of Sfax, Street

More information

Non-Stationary Time Series andunitroottests

Non-Stationary Time Series andunitroottests Econometrics 2 Fall 2005 Non-Stationary Time Series andunitroottests Heino Bohn Nielsen 1of25 Introduction Many economic time series are trending. Important to distinguish between two important cases:

More information

The Report of Modeling Stock Market Volatility in Four Asian Tigers. During Global Subprime Crisis Using ARMA-GARCH Approach

The Report of Modeling Stock Market Volatility in Four Asian Tigers. During Global Subprime Crisis Using ARMA-GARCH Approach Dr. Mak, Billy S C The Report of Modeling Stock Market Volatility in Four Asian Tigers During Global Subprime Crisis Using ARMA-GARCH Approach BY MUNG Tin Hong 12012084 Finance Concentration LI Yeung 12002127

More information

Testing for Granger causality between stock prices and economic growth

Testing for Granger causality between stock prices and economic growth MPRA Munich Personal RePEc Archive Testing for Granger causality between stock prices and economic growth Pasquale Foresti 2006 Online at http://mpra.ub.uni-muenchen.de/2962/ MPRA Paper No. 2962, posted

More information

ANALYSIS OF EUROPEAN, AMERICAN AND JAPANESE GOVERNMENT BOND YIELDS

ANALYSIS OF EUROPEAN, AMERICAN AND JAPANESE GOVERNMENT BOND YIELDS Applied Time Series Analysis ANALYSIS OF EUROPEAN, AMERICAN AND JAPANESE GOVERNMENT BOND YIELDS Stationarity, cointegration, Granger causality Aleksandra Falkowska and Piotr Lewicki TABLE OF CONTENTS 1.

More information

2. What are the theoretical and practical consequences of autocorrelation?

2. What are the theoretical and practical consequences of autocorrelation? Lecture 10 Serial Correlation In this lecture, you will learn the following: 1. What is the nature of autocorrelation? 2. What are the theoretical and practical consequences of autocorrelation? 3. Since

More information

The Orthogonal Response of Stock Returns to Dividend Yield and Price-to-Earnings Innovations

The Orthogonal Response of Stock Returns to Dividend Yield and Price-to-Earnings Innovations The Orthogonal Response of Stock Returns to Dividend Yield and Price-to-Earnings Innovations Vichet Sum School of Business and Technology, University of Maryland, Eastern Shore Kiah Hall, Suite 2117-A

More information

IS THERE A LONG-RUN RELATIONSHIP

IS THERE A LONG-RUN RELATIONSHIP 7. IS THERE A LONG-RUN RELATIONSHIP BETWEEN TAXATION AND GROWTH: THE CASE OF TURKEY Salih Turan KATIRCIOGLU Abstract This paper empirically investigates long-run equilibrium relationship between economic

More information

2. Pooled Cross Sections and Panels. 2.1 Pooled Cross Sections versus Panel Data

2. Pooled Cross Sections and Panels. 2.1 Pooled Cross Sections versus Panel Data 2. Pooled Cross Sections and Panels 2.1 Pooled Cross Sections versus Panel Data Pooled Cross Sections are obtained by collecting random samples from a large polulation independently of each other at different

More information

CHAPTER 5. Exercise Solutions

CHAPTER 5. Exercise Solutions CHAPTER 5 Exercise Solutions 91 Chapter 5, Exercise Solutions, Principles of Econometrics, e 9 EXERCISE 5.1 (a) y = 1, x =, x = x * * i x i 1 1 1 1 1 1 1 1 1 1 1 1 1 1 y * i (b) (c) yx = 1, x = 16, yx

More information

Assessing the Exchange Rate Fluctuation on Tehran's Stock Market Price: A GARCH Application

Assessing the Exchange Rate Fluctuation on Tehran's Stock Market Price: A GARCH Application IAU Assessing the Exchange Rate Fluctuation on Tehran's Stock Market Price: A GARCH Application 1 M. Khalili Araghi, *2 M. Mohazzab Pak 1, 2 Department of Business Management, School of Management and

More information

Vector Time Series Model Representations and Analysis with XploRe

Vector Time Series Model Representations and Analysis with XploRe 0-1 Vector Time Series Model Representations and Analysis with plore Julius Mungo CASE - Center for Applied Statistics and Economics Humboldt-Universität zu Berlin mungo@wiwi.hu-berlin.de plore MulTi Motivation

More information

Monetary dynamics in post inflation Bolivia

Monetary dynamics in post inflation Bolivia LAJED No 18 Noviembre 2012 65-104 ISSN: 2074-4706 Monetary dynamics in post inflation Bolivia Dinámica monetaria en Bolivia después de la inflación Jonathan Fortun-Vargas * Summary Is inflation always

More information

A Multiplicative Seasonal Box-Jenkins Model to Nigerian Stock Prices

A Multiplicative Seasonal Box-Jenkins Model to Nigerian Stock Prices A Multiplicative Seasonal Box-Jenkins Model to Nigerian Stock Prices Ette Harrison Etuk Department of Mathematics/Computer Science, Rivers State University of Science and Technology, Nigeria Email: ettetuk@yahoo.com

More information

Analysis of Financial Time Series with EViews

Analysis of Financial Time Series with EViews Analysis of Financial Time Series with EViews Enrico Foscolo Contents 1 Asset Returns 2 1.1 Empirical Properties of Returns................. 2 2 Heteroskedasticity and Autocorrelation 4 2.1 Testing for

More information

MACROECONOMIC VARIABLES AND SHARE PRICE MOVEMENTS IN NIGERIA BREWERY INDUSTRY: EVIDENCE FROM NIGERIAN BREWERIES PLC.

MACROECONOMIC VARIABLES AND SHARE PRICE MOVEMENTS IN NIGERIA BREWERY INDUSTRY: EVIDENCE FROM NIGERIAN BREWERIES PLC. MACROECONOMIC VARIABLES AND SHARE PRICE MOVEMENTS IN NIGERIA BREWERY INDUSTRY: EVIDENCE FROM NIGERIAN BREWERIES PLC. Oliver Ike Inyiama Ph.D, FCA and Chike Nwoha PhD, FCNA Department of Accountancy, Enugu

More information

Effect of Inflation on the Growth and Development of the Nigerian Economy (An Empirical Analysis)

Effect of Inflation on the Growth and Development of the Nigerian Economy (An Empirical Analysis) Effect of Inflation on the Growth and Development of the Nigerian Economy (An Empirical Analysis) Aminu Umaru Lecturer Department Of Economics School of Management and Information Technology Modibbo Adama

More information

This article appeared in a journal published by Elsevier. The attached copy is furnished to the author for internal non-commercial research and

This article appeared in a journal published by Elsevier. The attached copy is furnished to the author for internal non-commercial research and This article appeared in a journal published by Elsevier. The attached copy is furnished to the author for internal non-commercial research and education use, including for instruction at the authors institution

More information

LINKING MONEY SUPPLY WITH THE GROSS DOMESTIC PRODUCT IN ROMANIA

LINKING MONEY SUPPLY WITH THE GROSS DOMESTIC PRODUCT IN ROMANIA LINKING MONEY SUPPLY WITH THE GROSS DOMESTIC PRODUCT IN ROMANIA Daniela Zapodeanu 1 Mihail Ioan Cociuba 2 ABSTRACT: Evolution of money supply and gross domestic product are in a close relationship, in

More information

Regression Analysis. Data Calculations Output

Regression Analysis. Data Calculations Output Regression Analysis In an attempt to find answers to questions such as those posed above, empirical labour economists use a useful tool called regression analysis. Regression analysis is essentially a

More information

Hypothesis Testing in the Linear Regression Model An Overview of t tests, D Prescott

Hypothesis Testing in the Linear Regression Model An Overview of t tests, D Prescott Hypothesis Testing in the Linear Regression Model An Overview of t tests, D Prescott 1. Hypotheses as restrictions An hypothesis typically places restrictions on population regression coefficients. Consider

More information

(I)rationality of Investors on Croatian Stock Market Explaining the Impact of American Indices on Croatian Stock Market

(I)rationality of Investors on Croatian Stock Market Explaining the Impact of American Indices on Croatian Stock Market Trg J. F. Kennedya 6 10000 Zagreb, Croatia Tel +385(0)1 238 3333 http://www.efzg.hr/wps wps@efzg.hr WORKING PAPER SERIES Paper No. 09-01 Domagoj Sajter Tomislav Ćorić (I)rationality of Investors on Croatian

More information

British Journal of Economics, Finance and Management Sciences 22 June 2016, Vol. 12 (1)

British Journal of Economics, Finance and Management Sciences 22 June 2016, Vol. 12 (1) British Journal of Economics, Finance and Management Sciences 22 The Inflation-Unemployment Tradeoff in a Macroeconometric Model Camelia Ştefan The Bucharest University of Economic Studies, Bucharest,

More information

Relationship of the Australian stock market with its major trading partners: a simple exposition

Relationship of the Australian stock market with its major trading partners: a simple exposition Volume 2 Issue 2 Australasian Accounting Business and Finance Journal Australasian Accounting, Business and Finance Journal Article 4 Relationship of the Australian stock market with its major trading

More information

Trade-off between Inflation, Interest and Unemployment Rate of Pakistan: A Cointegration Analysis

Trade-off between Inflation, Interest and Unemployment Rate of Pakistan: A Cointegration Analysis Pak J Commer Soc Sci Pakistan Journal of Commerce and Social Sciences 13, Vol 7 (3), 482 492 Tradeoff between Inflation, Interest and Unemployment Rate of Pakistan: A Cointegration Analysis Yasar Mahmood

More information

The impact of oil prices on stock exchange and CPI in Pakistan

The impact of oil prices on stock exchange and CPI in Pakistan IOSR Journal of Business and Management (IOSR-JBM) e-issn: 2278-487X. Volume 7, Issue 6 (Jan. - Feb. 2013), PP 32-36 The impact of oil prices on stock exchange and CPI in Pakistan Ibraheem Ansar, Mis Nadia

More information

An Empirical Analysis of the Contribution of Agriculture and Petroleum Sector to the Growth and Development of the Nigerian Economy from

An Empirical Analysis of the Contribution of Agriculture and Petroleum Sector to the Growth and Development of the Nigerian Economy from International J. Soc. Sci. & Education 2012 Vol. 2 Issue 4, ISSN: 2223-4934 E and 2227-393X Print An Empirical Analysis of the Contribution of Agriculture and Petroleum Sector to the Growth and Development

More information

Forecasting the PhDs-Output of the Higher Education System of Pakistan

Forecasting the PhDs-Output of the Higher Education System of Pakistan Forecasting the PhDs-Output of the Higher Education System of Pakistan Ghani ur Rehman, Dr. Muhammad Khalil Shahid, Dr. Bakhtiar Khan Khattak and Syed Fiaz Ahmed Center for Emerging Sciences, Engineering

More information

Parking slots in Europe: Results review and new model proposal. Phase 2: EPA s model improvement and design of a new survey

Parking slots in Europe: Results review and new model proposal. Phase 2: EPA s model improvement and design of a new survey Parking slots in Europe: Results review and new model proposal Phase 2: EPA s model improvement and design of a new survey Research team: Jordi Suriñach (director) Manuela Alcañiz José Ramón García Montserrat

More information

NEAPOLIS UNIVERSITY OF PAPHOS (NUP)

NEAPOLIS UNIVERSITY OF PAPHOS (NUP) NEAPOLIS UNIVERSITY OF PAPHOS (NUP) WORKING PAPERS SERIES 2016/19 TITLE: Predictability of Foreign Exchange Rates with the AR(1) Model AUTHOR: Andreas Hadjixenophontos & Christos Christodoulou- Volos Predictability

More information

Sales forecasting # 2

Sales forecasting # 2 Sales forecasting # 2 Arthur Charpentier arthur.charpentier@univ-rennes1.fr 1 Agenda Qualitative and quantitative methods, a very general introduction Series decomposition Short versus long term forecasting

More information

AR(1) TIME SERIES PROCESS Econometrics 7590

AR(1) TIME SERIES PROCESS Econometrics 7590 AR(1) TIME SERIES PROCESS Econometrics 7590 Zsuzsanna HORVÁTH and Ryan JOHNSTON Abstract: We define the AR(1) process and its properties and applications. We demonstrate the applicability of our method

More information