9th Joint International Conference on Information Sciences (JCIS-06)

Multiple Regime Models and Exchange Rate Forecasting

Authors
CHUNCHIH CHEN 0
Corresponding Author
CHUNCHIH CHEN
0National Taipei University
Available Online October 2006.
DOI
https://doi.org/10.2991/jcis.2006.59How to use a DOI?
Keywords
Markov switching, exchange rate, forecast
Abstract
We extend the basic random walk Markov-Switching model in two ways and evaluate the out-of-sample forecasting performance on the Japanese yen during 1995-2004. First, we estimate both a two- and also a three-regime Markov switching models. Second, we add four exogenous variables as suggested in the monetary theory. According to the modified Diebold-Mariano forecast equivalence test, the result shows that our modified models, a three-regime random walk model and a two-regime monetary model, outperform a simple random walk for the yen. However, the interpretation of coefficients in the two-regime monetary model is unclear and the exchange-rate disconnect puzzle still remains a subject for further investigation.
Open Access
This is an open access article distributed under the CC BY-NC license.

Download article (PDF)

Proceedings
9th Joint International Conference on Information Sciences (JCIS-06)
Part of series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
DOI
https://doi.org/10.2991/jcis.2006.59How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - CHUNCHIH CHEN
PY  - 2006/10
DA  - 2006/10
TI  - Multiple Regime Models and Exchange Rate Forecasting
BT  - 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
UR  - https://doi.org/10.2991/jcis.2006.59
DO  - https://doi.org/10.2991/jcis.2006.59
ID  - CHEN2006/10
ER  -