Does the explanatory power of the monetary prediction models change during times of financial crisis? A study of the Swedish krona.
(2011) NEKP01 20112Department of Economics
- Abstract
- This study compares how the Swedish krona, valued in four different currencies, changes during times of financial crisis with non-crisis periods. Then out-of-sample predictions are made based on the flexible-price model. The predictions are made for the one period time horizon using the most recent information available at that time. This is done by re-estimating the parameters for every new observation that becomes available by using rolling regressions. These predictions are then compared to a benchmark based on no-change values. The results are mixed and even though the benchmark could not be beaten in this study, the evidence indicates that it is possible.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2199619
- author
- Gaverus, Karl-Johan LU
- supervisor
- organization
- course
- NEKP01 20112
- year
- 2011
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- FOREX Swedish Krona Crisis
- language
- English
- id
- 2199619
- date added to LUP
- 2011-11-17 09:07:42
- date last changed
- 2011-11-17 09:07:42
@misc{2199619, abstract = {{This study compares how the Swedish krona, valued in four different currencies, changes during times of financial crisis with non-crisis periods. Then out-of-sample predictions are made based on the flexible-price model. The predictions are made for the one period time horizon using the most recent information available at that time. This is done by re-estimating the parameters for every new observation that becomes available by using rolling regressions. These predictions are then compared to a benchmark based on no-change values. The results are mixed and even though the benchmark could not be beaten in this study, the evidence indicates that it is possible.}}, author = {{Gaverus, Karl-Johan}}, language = {{eng}}, note = {{Student Paper}}, title = {{Does the explanatory power of the monetary prediction models change during times of financial crisis? A study of the Swedish krona.}}, year = {{2011}}, }