Effective Exchange Rate Forecasting Models and Comparison Hedging Performance

• Main Author: 尤保傑
• Other Authors: 林建秀
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/42145187287505289030

碩士 === 國立政治大學 === 金融研究所 === 101 === This study provides five exchange rate models to predict future exchange rate (UIP,PPP,MF,Taylor rule and asymmetric Taylor rule). We illustrate these methods by assessing the forecasting performance of five exchange rate models using monthly returns on TWD/US dollar exchange rate. The data are monthly exchange rates ranging from December 1996 to October 2012, using spot and one-month forward exchange rates form Datastream. We find that empirical models based on purchase power parity (PPP) and the asymmetric Taylor rule(TRa) outperform the other models in out-of-sample forecasting using the appropriate hedging ratio. Comparing the hedging performance between PPP and models, we find that the hedging performance by the PPP will get the higher return. However, the hedging performance by the will get the lower volatility.