Long term currency forecast with multiple trend corrected exponential smoothing with shifting lags

Muhammed Sutcu, Ibrahim Tumay Gulbahar
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引用次数: 1

Abstract

In the current global economy, exchange rate forecasting is critical for investors and businesses seeking to make informed investment decisions and manage risk. While many short-term exchange rate forecasting methods exist, long-term forecasting methods are limited and often fail to account for the complex macroeconomic factors that influence exchange rate trends. However, investors need to have an analytically examined basis for deciding to invest, which requires knowing more about the future values of the related market currency. This paper proposes a new Multiple Trend Corrected Exponential Smoothing with Shifting Lags model to forecast long-term exchange rates, which incorporates multiple trend corrections and shifting lags to provide more accurate predictions of future currency values. We apply the proposed method to six currency pairs (USD/EUR, USD/NOK, USD/TRY, USD/CNY, USD/XOF, and USD/MGF) from 2006 to 2018 and compare its performance to existing methods, such as moving average, weighted moving average, and exponential smoothing. Our results show that the proposed model provides more accurate long-term exchange rate forecasts for developed countries than existing methods. Our findings have important implications for investors and businesses seeking to manage currency risk and make informed investment decisions in the global economy.
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具有变动滞后的多重趋势修正指数平滑的长期货币预测
在当前的全球经济中,汇率预测对于寻求做出明智的投资决策和管理风险的投资者和企业至关重要。虽然存在许多短期汇率预测方法,但长期预测方法是有限的,而且往往不能考虑影响汇率趋势的复杂宏观经济因素。然而,投资者需要有一个分析检验的基础来决定投资,这需要更多地了解相关市场货币的未来价值。本文提出了一种新的具有移动滞后的多重趋势修正指数平滑模型来预测长期汇率,该模型结合了多重趋势修正和移动滞后,以提供更准确的未来货币价值预测。我们将该方法应用于2006年至2018年的六个货币对(美元/欧元、美元/挪威克朗、美元/TRY、美元/人民币、美元/XOF和美元/MGF),并将其性能与现有方法(如移动平均、加权移动平均和指数平滑)进行比较。我们的研究结果表明,所提出的模型比现有的方法提供了更准确的发达国家长期汇率预测。我们的研究结果对寻求在全球经济中管理货币风险并做出明智投资决策的投资者和企业具有重要意义。
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