Forecasting exchange rates: The multi-state Markov-switching model with smoothing
Forecasting exchange rates: The multi-state Markov-switching model with smoothing
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DOI：
10.1016/j.iref.2010.09.002
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发表时间：
2011-04
影响因子：
4.5
通讯作者：
Chunming Yuan
中科院分区：
文献类型：
--
作者：
Chunming Yuan
本文提出了一种将多状态马尔可夫转换模型与平滑技术相结合的汇率预测模型。该模型在短期内优于随机游走，其上级预测能力似乎是强大的，在不同的样本跨度。我们的发现取决于这样一个事实，即汇率往往遵循高度持续的趋势，因此，击败随机游走的关键是识别这些趋势。试图将汇率趋势与基本宏观经济决定因素联系起来进一步表明，基于基本面的线性模型通常无法捕捉汇率的持续性，因此无法预测随机游走。
This paper presents an exchange rate forecasting model which combines the multi-state Markov-switching model with smoothing techniques. The model outperforms a random walk at short horizons and its superior forecastability appears to be robust over different sample spans. Our finding hinges on the fact that exchange rates tend to follow highly persistent trends and accordingly, the key to beating the random walk is to identify these trends. An attempt to link the trends in exchange rates to the underlying macroeconomic determinants further reveals that fundamentals-based linear models generally fail to capture the persistence in exchange rates and thus are incapable of outforecasting the random walk.