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Does the explanatory power of the monetary prediction models change during times of financial crisis? A study of the Swedish krona.

Gaverus, Karl-Johan LU (2011) NEKP01 20112
Department 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.
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author
Gaverus, Karl-Johan LU
supervisor
organization
course
NEKP01 20112
year
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},
  keyword      = {FOREX Swedish Krona Crisis},
  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},
}