The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand
This paper analyses the out-of-sample forecasting performance of non-linear vs. linear models for the South African rand against the United States dollar and the British pound, in real terms. We compare the forecasting performance of point, interval and density forecasts for non-linear Band-TAR and...
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Università Carlo Cattaneo LIUC
2013-04-01
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| Series: | The European Journal of Comparative Economics |
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| Online Access: | http://eaces.liuc.it/18242979201301/182429792013100106.pdf |
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doaj-dd529975ca114cbf93697d023a1bb1c92020-11-24T21:26:47ZengUniversità Carlo Cattaneo LIUCThe European Journal of Comparative Economics1824-29792013-04-01101121148The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African RandAye, Goodness C.Balcilar, MehmetBosch, AdélGupta, RanganStofberg, FrancoisThis paper analyses the out-of-sample forecasting performance of non-linear vs. linear models for the South African rand against the United States dollar and the British pound, in real terms. We compare the forecasting performance of point, interval and density forecasts for non-linear Band-TAR and ESTAR models to linear autoregressive models. Our data spans from 1970:01 to 2012:07, and we found that there are no significant gains from using either the Band-TAR or ESTAR non-linear models, compared to the linear AR model in terms of out-of-sample forecasting performance, especially at short horizons. We draw similar conclusions to other literature, and find that for the South African rand against the United States dollar and British pound, non-linearities are too weak for Band-TAR and ESTAR models to estimate.http://eaces.liuc.it/18242979201301/182429792013100106.pdfReal exchange rateTransaction costsBand-threshold autoregressive modelExponential smooth transition autoregressive modelPoint forecastInterval forecastDensity forecastSouth Africa |
| collection |
DOAJ |
| language |
English |
| format |
Article |
| sources |
DOAJ |
| author |
Aye, Goodness C. Balcilar, Mehmet Bosch, Adél Gupta, Rangan Stofberg, Francois |
| spellingShingle |
Aye, Goodness C. Balcilar, Mehmet Bosch, Adél Gupta, Rangan Stofberg, Francois The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand The European Journal of Comparative Economics Real exchange rate Transaction costs Band-threshold autoregressive model Exponential smooth transition autoregressive model Point forecast Interval forecast Density forecast South Africa |
| author_facet |
Aye, Goodness C. Balcilar, Mehmet Bosch, Adél Gupta, Rangan Stofberg, Francois |
| author_sort |
Aye, Goodness C. |
| title |
The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand |
| title_short |
The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand |
| title_full |
The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand |
| title_fullStr |
The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand |
| title_full_unstemmed |
The out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: The case of the South African Rand |
| title_sort |
out-of-sample forecasting performance of non-linear models of real exchange rate behaviour: the case of the south african rand |
| publisher |
Università Carlo Cattaneo LIUC |
| series |
The European Journal of Comparative Economics |
| issn |
1824-2979 |
| publishDate |
2013-04-01 |
| description |
This paper analyses the out-of-sample forecasting performance of non-linear vs. linear models for the South African rand against the United States dollar and the British pound, in real terms. We compare the forecasting performance of point, interval and density forecasts for non-linear Band-TAR and ESTAR models to linear autoregressive models. Our data spans from 1970:01 to 2012:07, and we found that there are no significant gains from using either the Band-TAR or ESTAR non-linear models, compared to the linear AR model in terms of out-of-sample forecasting performance, especially at short horizons. We draw similar conclusions to other literature, and find that for the South African rand against the United States dollar and British pound, non-linearities are too weak for Band-TAR and ESTAR models to estimate. |
| topic |
Real exchange rate Transaction costs Band-threshold autoregressive model Exponential smooth transition autoregressive model Point forecast Interval forecast Density forecast South Africa |
| url |
http://eaces.liuc.it/18242979201301/182429792013100106.pdf |
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