Dynamics of exchange rate changes: Bayesian forecasting with dynamic linear models - Couverture souple

Hrad, Thomas

Couverture souple

ISBN 10 : 3639627830 ISBN 13 : 9783639627831

Editeur : AV Akademikerverlag, 2014

Synopsis

The objective of this book is to empirically evaluate the parameters which drive exchange rate changes. The analysis will be performed with a dynamic linear model in a Bayesian framework. It will be demonstrated how to get from a static first order polynomial model to a dynamic regression model, incorporating the predictive parameters such as “purchasing power parity”, “interest rate differentials” and “volatility index”. Discussion will focus on how different currency pairs react on specific parameters. While analyzing data in the long-run as well as during the financial crisis from 2008-2009 it will become clear that specific parameters dominate specific business cycles. Putting all this information together the model will be compared to a simple trading strategy to show that using this model an investor can earn excess returns between 1.23% and 1.9% p.a.

A propos du livre

À propos de l?auteur

Thomas Hrad works as Group Financial Analyst for New Frontier Group in Vienna. He holds a Master’s degree in Finance and Accounting from Vienna University of Economics and Business. His academic research focused on mechanisms that dominate exchange rates during different business cycles and was awarded with the CFA Society Austria prize.

Détails de l'édition

• Éditeur: AV Akademikerverlag
• Date d'édition: 2014
• Langue: anglais
• ISBN 10: 3639627830
• ISBN 13: 9783639627831
• Reliure: Broché
• Nombre de pages: 80
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible