文章基本信息

标题：Nonlinear prediction of Malaysian exchange rate with monetary fundamentals
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作者：Chun-Teck Lye ; Tze-Haw Chan ; Chee-Wooi Hooy 等
期刊名称：Economics Bulletin
电子版ISSN：1545-2921
出版年度：2011
卷号：31
期号：3
页码：1960-1967
出版社：Economics Bulletin
摘要：This paper compares one-step-ahead out-of-sample predictions on Malaysian Ringgit-US Dollar exchange rate using the generalized regression neural network for a range of forecasting horizons from 1991M3 to 2008M8. We find that the monetary fundamentals are significant in explaining the dynamics of Malaysian exchange rate in a longer forecast horizon as the performance of monetary exchange rate models outperformed the random walk benchmark model. The results also revealed that Malaysian exchange rate market provides profitable short-term arbitrage opportunities with lagged observations, and the integration of autoregressive terms into the monetary exchange rate models enhanced the out-of-sample forecasting performance