메뉴 건너뛰기




Volumn 13, Issue 2, 2002, Pages 195-215

Forecasting exchange rates: Do banks know better?

Author keywords

Commercial banks; Forecasting; Foreign exchange rates; Random walk model

Indexed keywords


EID: 0036389605     PISSN: 10440283     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1044-0283(02)00047-9     Document Type: Article
Times cited : (10)

References (26)
  • 1
    • 0000849513 scopus 로고
    • The forward exchange rate and the prediction of the future spot rate
    • Agmon, T., & Amihud, Y. (1981). The forward exchange rate and the prediction of the future spot rate. Journal of Banking and Finance, 5, 425-437.
    • (1981) Journal of Banking and Finance , vol.5 , pp. 425-437
    • Agmon, T.1    Amihud, Y.2
  • 2
    • 0004072655 scopus 로고    scopus 로고
    • Central bank survey of foreign exchange and derivatives market activity in April 2001: Preliminary global data
    • Bank for International Settlements Basle, Switzerland: Bank for International Settlements
    • Bank for International Settlements (2001). Central bank survey of foreign exchange and derivatives market activity in April 2001: preliminary global data. Basle, Switzerland: Bank for International Settlements.
    • (2001)
  • 3
    • 0001009122 scopus 로고
    • Exchange rate expectations and risk premium in the Singapore/U.S. dollar exchange rate: Evidence from survey data
    • Beng, G. W., & Siong, W. K. (1993). Exchange rate expectations and risk premium in the Singapore/U.S. dollar exchange rate: evidence from survey data. Applied Financial Economics, 3, 365-373.
    • (1993) Applied Financial Economics , vol.3 , pp. 365-373
    • Beng, G.W.1    Siong, W.K.2
  • 4
    • 0002620288 scopus 로고
    • Comparing exchange rate forecasting models: Accuracy versus profit
    • Boothe, P., & Glassman, D. (1987). Comparing exchange rate forecasting models: accuracy versus profit. International Journal of Forecasting, 3, 65-79.
    • (1987) International Journal of Forecasting , vol.3 , pp. 65-79
    • Boothe, P.1    Glassman, D.2
  • 6
    • 0001126361 scopus 로고
    • Banking on currency forecasts: How predictable is change in money?
    • Chin, M. D., & Meese, R. A. (1995). Banking on currency forecasts: how predictable is change in money? Journal of International Economics, 38, 161-178.
    • (1995) Journal of International Economics , vol.38 , pp. 161-178
    • Chin, M.D.1    Meese, R.A.2
  • 7
    • 0003810648 scopus 로고    scopus 로고
    • Asymmetric information and price discovery in the FX market: Does Tokyo know more about the yen?
    • Working paper, Arizona State University
    • Covrig, V., & Melvin, M. (1998). Asymmetric information and price discovery in the FX market: does Tokyo know more about the yen? Working paper, Arizona State University.
    • (1998)
    • Covrig, V.1    Melvin, M.2
  • 10
    • 0000424730 scopus 로고
    • Are foreign exchange forecasts rational? New evidence from survey data
    • Dominguez, K. M. (1986). Are foreign exchange forecasts rational? New evidence from survey data. Economic Letters, 21, 277-281.
    • (1986) Economic Letters , vol.21 , pp. 277-281
    • Dominguez, K.M.1
  • 11
    • 0010646705 scopus 로고    scopus 로고
    • Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market
    • Elliott, G., & Ito, T. (1999). Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market. Journal of Monetary Economics, 43, 435-456.
    • (1999) Journal of Monetary Economics , vol.43 , pp. 435-456
    • Elliott, G.1    Ito, T.2
  • 12
    • 38149147790 scopus 로고
    • Can the Markov switching model forecast exchange rates?
    • Engel, C. (1994). Can the Markov switching model forecast exchange rates? Journal of International Economics, 36, 151-165.
    • (1994) Journal of International Economics , vol.36 , pp. 151-165
    • Engel, C.1
  • 13
    • 0000131597 scopus 로고
    • Using survey data to test standard propositions regarding exchange rate expectations
    • Frankel, J. A., & Froot, K. A. (1987). Using survey data to test standard propositions regarding exchange rate expectations. American Economic Review, 77, 133-153.
    • (1987) American Economic Review , vol.77 , pp. 133-153
    • Frankel, J.A.1    Froot, K.A.2
  • 14
    • 0004061891 scopus 로고
    • Exchange rate forecasting techniques, survey data, and implications for the foreign exchange market
    • Working paper, University of California at Berkeley
    • Frankel, J. A., & Froot, K. A. (1991). Exchange rate forecasting techniques, survey data, and implications for the foreign exchange market. Working paper, University of California at Berkeley.
    • (1991)
    • Frankel, J.A.1    Froot, K.A.2
  • 15
    • 0004061889 scopus 로고
    • The empirical evidence on the efficiency of the forward and futures foreign exchange markets
    • Chur, Switzerland: Harwood Academic Publishers
    • Hodrick, R. J. (1987). The empirical evidence on the efficiency of the forward and futures foreign exchange markets. Chur, Switzerland: Harwood Academic Publishers.
    • (1987)
    • Hodrick, R.J.1
  • 17
    • 0001590810 scopus 로고
    • Foreign exchange rate expectations: Micro survey data
    • Ito, T. (1990). Foreign exchange rate expectations: micro survey data. American Economic Review, 80, 434-449.
    • (1990) American Economic Review , vol.80 , pp. 434-449
    • Ito, T.1
  • 18
    • 0001090096 scopus 로고
    • Economic forecast evaluation: Profits versus the conventional error measures
    • Leitch, G., & Tanner, J. E. (1991). Economic forecast evaluation: profits versus the conventional error measures. American Economic Review, 81, 580-590.
    • (1991) American Economic Review , vol.81 , pp. 580-590
    • Leitch, G.1    Tanner, J.E.2
  • 19
    • 0000240786 scopus 로고
    • Rationality of survey data and tests for market efficiency in the foreign exchange markets
    • Liu, P. C., & Maddala, G. S. (1992). Rationality of survey data and tests for market efficiency in the foreign exchange markets. Journal of International Money and Finance, 11, 366-381.
    • (1992) Journal of International Money and Finance , vol.11 , pp. 366-381
    • Liu, P.C.1    Maddala, G.S.2
  • 20
    • 0030268672 scopus 로고    scopus 로고
    • Currency forecasters are heterogeneous: Confirmation and consequences
    • MacDonald, R., & Marsh, I. W. (1996). Currency forecasters are heterogeneous: confirmation and consequences. Journal of International Money and Finance, 15, 665-685.
    • (1996) Journal of International Money and Finance , vol.15 , pp. 665-685
    • MacDonald, R.1    Marsh, I.W.2
  • 21
    • 33846907054 scopus 로고
    • Empirical exchange rate models of the seventies: Do they fit out of sample?
    • Meese, R., & Rogoff, K. (1983). Empirical exchange rate models of the seventies: do they fit out of sample? Journal of International Economics, 14, 3-24.
    • (1983) Journal of International Economics , vol.14 , pp. 3-24
    • Meese, R.1    Rogoff, K.2
  • 22
    • 0010647227 scopus 로고    scopus 로고
    • New results on the rationality of survey measures of exchange rate expectations
    • Osterberg, W. (2000). New results on the rationality of survey measures of exchange rate expectations. Economic Review-Federal Reserve Bank of Cleveland, 36, 14-21.
    • (2000) Economic Review-Federal Reserve Bank of Cleveland , vol.36 , pp. 14-21
    • Osterberg, W.1
  • 23
    • 0006640604 scopus 로고    scopus 로고
    • Informed traders, intervention, and price leadership: A deeper view of the microstructure of the foreign exchange market
    • Peiers, B. (1997). Informed traders, intervention, and price leadership: a deeper view of the microstructure of the foreign exchange market. Journal of Finance, 52, 1589-1614.
    • (1997) Journal of Finance , vol.52 , pp. 1589-1614
    • Peiers, B.1
  • 26
    • 0001766676 scopus 로고
    • An examination of foreign exchange risk under fixed and floating rate regimes
    • Westerfield, J. M. (1977). An examination of foreign exchange risk under fixed and floating rate regimes. Journal of International Economics, 7, 181-200.
    • (1977) Journal of International Economics , vol.7 , pp. 181-200
    • Westerfield, J.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.