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LUND UNIVERSITY LIBRARIES

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.
Please use this url to cite or link to this publication:
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}},
  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}},
}