Exchange rate prediction using changes in commodity prices

Detalhes bibliográficos
Autor(a) principal: Lampreia, Francisco Manuel Aniceto da Silva Ferrari
Data de Publicação: 2020
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.14/39916
Resumo: This dissertation aims to analyze the effect of commodity price changes on exchange rates, and to test whether they are any good in predicting the exchange rate of several currencies against the US dollar. I compare the forecast performance of models that use commodity prices with that of a random walk model, and analyze which performs better, I also analyze an economic fundamentals model. This analysis is done both in-sample and out-of-sample. My results are positive, given that all models tested outperform the random walk model for the majority of the countries tested. It is also concluded that a model that uses only commodity prices is the best performer out-of-sample. A striking result is that, in this study, the economic fundamentals model outperforms the random walk, despite past research suggesting that there is no relationship between economic fundamentals and exchange rates.
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spelling Exchange rate prediction using changes in commodity pricesExchange ratesInternational economicsInternational financeTaxas de câmbioCommoditiesEconomia internacionalFinanças internacionaisDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis dissertation aims to analyze the effect of commodity price changes on exchange rates, and to test whether they are any good in predicting the exchange rate of several currencies against the US dollar. I compare the forecast performance of models that use commodity prices with that of a random walk model, and analyze which performs better, I also analyze an economic fundamentals model. This analysis is done both in-sample and out-of-sample. My results are positive, given that all models tested outperform the random walk model for the majority of the countries tested. It is also concluded that a model that uses only commodity prices is the best performer out-of-sample. A striking result is that, in this study, the economic fundamentals model outperforms the random walk, despite past research suggesting that there is no relationship between economic fundamentals and exchange rates.Esta tese tem como objetivo analisar efeito de variações no preço de commodities em taxas de câmbio, e testar se são uteis para prever taxas de câmbio de varias divisas contra o dolar americano. Eu comparo a performance de previsão de modelos que usam preços de commodities com um modelo de random walk, e analiso qual performa melhor, analiso também um modelo de fundamentais económicos. Esta análise é feita in-sample e out-of-sample. Os meus resultados são positivos, uma vez que todos os modelos performam melhor que o modelo de random walk para a maioria dos países testados. Também se conclui que um modelo que use apenas preços de commodities tem a melhor performance out-of-sample. Um resultado inesperado é que, nesta tese, o modelo de fundamentais económicos performa melhor que o modelo de random walk, embora pesquisa anterior sugira que não existe nenhuma relação entre fundamentais económicos e taxas de câmbio.Alfaro, IvanVeritati - Repositório Institucional da Universidade Católica PortuguesaLampreia, Francisco Manuel Aniceto da Silva Ferrari2023-01-18T11:17:44Z2020-10-1520202020-10-15T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/39916TID:202531457enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:45:28Zoai:repositorio.ucp.pt:10400.14/39916Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:32:41.483174Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Exchange rate prediction using changes in commodity prices
title Exchange rate prediction using changes in commodity prices
spellingShingle Exchange rate prediction using changes in commodity prices
Lampreia, Francisco Manuel Aniceto da Silva Ferrari
Exchange rates
International economics
International finance
Taxas de câmbio
Commodities
Economia internacional
Finanças internacionais
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Exchange rate prediction using changes in commodity prices
title_full Exchange rate prediction using changes in commodity prices
title_fullStr Exchange rate prediction using changes in commodity prices
title_full_unstemmed Exchange rate prediction using changes in commodity prices
title_sort Exchange rate prediction using changes in commodity prices
author Lampreia, Francisco Manuel Aniceto da Silva Ferrari
author_facet Lampreia, Francisco Manuel Aniceto da Silva Ferrari
author_role author
dc.contributor.none.fl_str_mv Alfaro, Ivan
Veritati - Repositório Institucional da Universidade Católica Portuguesa
dc.contributor.author.fl_str_mv Lampreia, Francisco Manuel Aniceto da Silva Ferrari
dc.subject.por.fl_str_mv Exchange rates
International economics
International finance
Taxas de câmbio
Commodities
Economia internacional
Finanças internacionais
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Exchange rates
International economics
International finance
Taxas de câmbio
Commodities
Economia internacional
Finanças internacionais
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This dissertation aims to analyze the effect of commodity price changes on exchange rates, and to test whether they are any good in predicting the exchange rate of several currencies against the US dollar. I compare the forecast performance of models that use commodity prices with that of a random walk model, and analyze which performs better, I also analyze an economic fundamentals model. This analysis is done both in-sample and out-of-sample. My results are positive, given that all models tested outperform the random walk model for the majority of the countries tested. It is also concluded that a model that uses only commodity prices is the best performer out-of-sample. A striking result is that, in this study, the economic fundamentals model outperforms the random walk, despite past research suggesting that there is no relationship between economic fundamentals and exchange rates.
publishDate 2020
dc.date.none.fl_str_mv 2020-10-15
2020
2020-10-15T00:00:00Z
2023-01-18T11:17:44Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.14/39916
TID:202531457
url http://hdl.handle.net/10400.14/39916
identifier_str_mv TID:202531457
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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