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Empiriska växelkursmodeller för den svenska kronan - Är det någon som fungerar?

Grahn, Mattias (2007)
Department of Economics
Abstract
The forecast ability of four well-known exchange rate models for the
Swedish krona is tested in this thesis. The models that are tested are
the purchase power parity, the real interest differential model, the
sticky-price model and a productivity model. In addition to the
benchmark, the random walk, they are also compared to each other.
They are all tested on three different horizons one quarter, two quarters
and four quarters. The mean squared forecast error criteria and the
direction of change criteria are used for evaluation of the forecast
ability. Only in a couple of cases are the forecast ability of the
theoretical based models significant better than the random walk.
Please use this url to cite or link to this publication:
author
Grahn, Mattias
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
Exchange rates, forecast performance, direct forecast, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
language
Swedish
id
1338037
date added to LUP
2007-06-14 00:00:00
date last changed
2010-08-03 10:50:31
@misc{1338037,
  abstract     = {{The forecast ability of four well-known exchange rate models for the
Swedish krona is tested in this thesis. The models that are tested are
the purchase power parity, the real interest differential model, the
sticky-price model and a productivity model. In addition to the
benchmark, the random walk, they are also compared to each other.
They are all tested on three different horizons one quarter, two quarters
and four quarters. The mean squared forecast error criteria and the
direction of change criteria are used for evaluation of the forecast
ability. Only in a couple of cases are the forecast ability of the
theoretical based models significant better than the random walk.}},
  author       = {{Grahn, Mattias}},
  language     = {{swe}},
  note         = {{Student Paper}},
  title        = {{Empiriska växelkursmodeller för den svenska kronan - Är det någon som fungerar?}},
  year         = {{2007}},
}