Autoregressive Forecasting Models Research Articles

Forecasting the barbados money supply

The purpose of this paper is to provide an adequate forecasting method for the money supply in the Barbadian economy. This would assist the Central Bank in making decisions on monetary intervention. The performance of ARIMA and vector autoregressive forecasting models are investigated along with combinations of these models. The results of this study suggest that there are reasonable options available for obtaining reliable forecasts of the Barbados money supply. Our findings indicate that seasonal factors and interest rate effects should be comprehended within the forecasting model. We accomplished this through a combination forecasting procedure in which seasonal effects are captured by an ARIMA model and interest rates are introduced through a vector autoregressive forecasting model as exogenous variables.

Can Exchange Rate Predictability be Achieved Without Monetary Convergence? Evidence from the EMS

One purpose of the presented paper is to investigate whether the EMS has coincided with reduced variablity in unanticiapted nominal and real exchange rate movements. Exchange rate expectations are measured using Euromarket forward rates, as well as random walk and vector autoregressive forecasting models. This study also extends earlier analyses by considering volatility at horizons greater than one month. (The efficient estimation of multi-month conditional forecast error variances turns out to require estimation of moving average process.) In order to examine the frequent assertion that the EMD provides a blueprint for reducing exchange rate variablilityamong the world's largest currencies, the analysis focuses on France, Germany and Italy.