Korean exchange rate forecasts using Bayesian variable selection
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Young Min | - |
dc.contributor.author | Lee, Seojin | - |
dc.date.available | 2021-03-17T11:45:40Z | - |
dc.date.created | 2021-02-26 | - |
dc.date.issued | 2022-01-01 | - |
dc.identifier.issn | 1608-1625 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/hongik/handle/2020.sw.hongik/14103 | - |
dc.description.abstract | Using Bayesian variable selection, we demonstrate that economic variables forecast Korea-US exchange rates better than random walk or random walk with drift model at a short horizon. It implies that the failure of out-of-sample exchange rate forecasts is due to the uncertainties associated with selecting proper predictors, rather than the lack of relationship between the exchange rate and its theoretical determinants. Our results also suggest that time-variant and asymmetric weights on predictors should be taken into account to understand exchange rates dynamics. (JEL classification: C11, C53, F31) | - |
dc.language | 영어 | - |
dc.language.iso | en | - |
dc.publisher | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD | - |
dc.title | Korean exchange rate forecasts using Bayesian variable selection | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Lee, Seojin | - |
dc.identifier.doi | 10.1080/16081625.2019.1653777 | - |
dc.identifier.scopusid | 2-s2.0-85070886374 | - |
dc.identifier.wosid | 000481233700001 | - |
dc.identifier.bibliographicCitation | ASIA-PACIFIC JOURNAL OF ACCOUNTING & ECONOMICS, v.29, no.4, pp.1045 - 1062 | - |
dc.relation.isPartOf | ASIA-PACIFIC JOURNAL OF ACCOUNTING & ECONOMICS | - |
dc.citation.title | ASIA-PACIFIC JOURNAL OF ACCOUNTING & ECONOMICS | - |
dc.citation.volume | 29 | - |
dc.citation.number | 4 | - |
dc.citation.startPage | 1045 | - |
dc.citation.endPage | 1062 | - |
dc.type.rims | ART | - |
dc.type.docType | Article; Early Access | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordPlus | MONETARY FUNDAMENTALS | - |
dc.subject.keywordPlus | RATE MODEL | - |
dc.subject.keywordPlus | TELL US | - |
dc.subject.keywordPlus | POLICY | - |
dc.subject.keywordPlus | PREDICTABILITY | - |
dc.subject.keywordPlus | UNCERTAINTY | - |
dc.subject.keywordPlus | INFERENCE | - |
dc.subject.keywordPlus | PRICES | - |
dc.subject.keywordAuthor | Exchange rates forecasting | - |
dc.subject.keywordAuthor | out-of-sample predictability | - |
dc.subject.keywordAuthor | Bayesian MCMC algorithm | - |
dc.subject.keywordAuthor | parameter heterogeneity | - |
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