Forecasting the Polish Zloty with Non-Linear Models

• Autorzy: Michał Rubaszek , Paweł Skrzypczyński , Grzegorz Koloch
• Języki publikacji: EN

Abstrakty

EN

The literature on exchange rate forecasting is vast. Many researchers have tested whether implications of theoretical economic models or the use of advanced econometric techniques can help explain future movements in exchange rates. The results of the empirical studies for major world currencies show that forecasts from a naive random walk tend to be comparable or even better than forecasts from more sophisticated models. In the case of the Polish zloty, the discussion in the literature on exchange rate forecasting is scarce. This article fills this gap by testing whether non-linear time series models are able to generate forecasts for the nominal exchange rate of the Polish zloty that are more accurate than forecasts from a random walk. Our results confirm the main findings from the literature, namely that it is dificult to outperform a naive random walk in exchange rate forecasting contest. (original abstract)

Słowa kluczowe

EN

Exchange rates forecasting; Polish Zloty; Neural networks

PL

Prognozowanie kursów walut; Złoty polski; Sieci neuronowe

• Czasopismo: Central European Journal of Economic Modelling and Econometrics (CEJEME)
• Rocznik: 2010
• Tom: 2
• Numer: nr 2
• Strony: 151--167

Twórcy

autor

Michał Rubaszek

• National Bank of Poland; Warsaw School of Economics

autor

Paweł Skrzypczyński

• National Bank of Poland

autor

Grzegorz Koloch

• National Bank of Poland; Warsaw School of Economics

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Identyfikatory

DOI

10.24425/cejeme.2010.119325