Сучасний ринок FOREX та методи прогнозування валютних курсів на ньому

Розглянуто теоретико-методологічні основи прогнозування валютних курсів на ринку Forex. Визначено особливості діяльності на ринку Forex та його переваги і недоліки серед інших валютних ринків. Розкрито сутність прогнозування в цілому та основні проблеми у прогнозуванні. Розглянуто основні методи прогнозування валютних курсів на ринку Forex та ступінь їх використання

Can a Lucas model with habit generate realistic conditional volatility in exchange rate returns?

In this paper, we attempt to give a theoretical underpinning to the well established empirical stylized fact that asset returns in general and the spot FOREX returns in particular display predictable volatility characteristics. Adopting Moore and Roche.s habit persistence version of Lucas model we .nd that both the innovation in the spot FOREX return and the FOREX return itself follow "ARCH" style processes. Using the impulse response functions (IRFs) we show that the baseline simulated FOREX series has "ARCH" properties in the quarterly frequency that match well the "ARCH" properties of the empirical monthly estimations in that when we scale the x-axis to synchronize the monthly and quarterly responses we find similar impulse responses to one unit shock in variance. The IRFs for the ARCH processes we estimate "look the same" with an approximately monotonic decreasing fashion. The Lucas two-country monetary model with habit can generate realistic conditional volatility in spot FOREX return.: asset pricing, CCAPM, conditional volatility, GARCH models, foreign exchange, habit persistence

Lessons from the evolution of foreign exchange trading strategies

The adaptive markets hypothesis posits that trading strategies evolve as traders adapt their behavior to changing circumstances. This paper studies the evolution of trading strategies for a hypothetical trader who chooses portfolios from foreign exchange (forex) technical rules in major and emerging markets, the carry trade, and U.S. equities. The results show that forex trading alone dramatically outperforms the S&P 500 but there is little gain to coordinating forex and equity strategies, which explains why practitioners consider these tools separately. In addition, a backtesting procedure to choose optimal portfolios does not select carry trade strategies until well into the 1990s, which helps to explain the relatively recent surge in interest in this strategy. Forex trading returns dip significantly in the 1990s but recover by the end of the decade and have greatly outperformed an equity position since 1998. Overall, trading rule returns still exist in forex markets—with substantial stability in the types of rules—though they have migrated to emerging markets to a considerable degree.Foreign exchange ; Trade

Tinjauan Hukum Islam terhadap Forex Online Trading

Dewasa ini, tren investasi Forex Online Trading (FOT) sedang marak. Forex Online Trading merupakan perdagangan currency atau valuta asing dengan valuta asing lainnya yang tidak melibatkan fisik dari perdagangan tersebut, melainkan hanya nilainya saja dalam satu platform internet. Forex Online Trading termasuk dalam perdagangan berjangka, dimana tidak ada penyerahan secara langsung saat terjadinya transaksinya. Selain hal tersebut, dalam proses transaksinya ada margin atau jaminan yang harus diberikan investor kepada Forex Online Broker dan sistem transaksi short selling yang menjadi ciri khas dari Forex Online Trading sehingga terjadi praktek penjualan tanpa hak kepemilikan. Oleh karena hal-hal tersebut, maka timbul satu permasalahan yaitu bagaimana pandangan hukum Islam terhadap forex online trading? Sehingga penelitian ini bertujuan untuk mendeskripsikan pandangan hukum Islam terhadap transaksi tersebut. Metode penelitian ini adalah deskriftif kualitatif dengan metode pengumpulan data dokumentasi. Setelah dianalisis melalui metode tersebut, penulis menetapkan bahwa hokum transaksi Forex Online Trading adalah haram, karena Forex Online Trading tergolong dalam transaksi future market dengan menggunkan sistem margin dan short selling yang merepresentasikan praktek riba dan maisir

Testing for Efficiency in Selected Developing Foreign Exchange Markets: An Equilibrium-based Approach.

This paper proposes an alternative way of testing FOREX efficiency for developing countries. The FOREX market will be efficient if fully reflects all available information. If this holds, the actual exchange rate will not deviate significantly from its equilibrium rate. Moreover, the spot rate should deviate from its equilibrium rate by only transitory components (i.e. it should follow a white noise process). This test is applied to three Central & Eastern European Countries – members of the EU. Considering an LSTAR model we find no evidence of nonlinear adjustment in the misalignment series. So, linear unit root tests imply that the Poland/Euro FOREX market is efficient, the Czech/Euro FOREX market is not, while the Slovak/Euro FOREX market is quasi-efficient.FOREX efficiency; BEER; Linearity test; Unit Root.

Official Foreign Exchange Interventions in the Czech Republic: Did They Matter?

This paper studies the impact of daily official foreign exchange interventions on the Czech koruna’s exchange rate vis-à-vis the euro (German mark prior to 1999) from 1997 to 2002. Using both the event study methodology and a variety of GARCH models reveal that central bank interventions, especially koruna purchases were fairly ineffective from 1997 to mid-1998 compared to the size of the interventions. However, from mid-1998 to 2002, koruna sales were surprisingly effective in either smoothing the path of the exchange rate or even reversing the appreciating trend up to 60 days. Higher volatility triggered koruna purchases in the period from 1997 to mid-1998, which in turn leads to higher volatility. This suggests that the CNB tried in vain to calm the markets after the currency crisis. Koruna sales simply yield more forex rate volatility, a by-product of the monetary authorities’ efforts to counter excessive appreciation.http://deepblue.lib.umich.edu/bitstream/2027.42/40146/3/wp760.pd

Exchange Rate Regimes, Foreign Exchange Volatility and Export Performance in Central and Eastern Europe: Just Another Blur Project?

This paper attempts to analyze the direct impact of exchange rate volatility on the export performance of ten Central and Eastern European transition economies as well as its indirect impact via changes in exchange rate regimes. Not only aggregate but also bilateral and sectoral export flows are studied. To this end, we first analyze shifts in exchange rate volatility linked to changes in the exchange rate regimes and second, use these changes to construct dummy variables we include in our export function. The results suggest that the size and the direction of the impact of forex volatility and of regime changes on exports vary considerably across sectors and countries and that they may be related to specific periods.http://deepblue.lib.umich.edu/bitstream/2027.42/40168/3/wp782.pd

Exchange Rate Pass-Through to Consumer Prices in Nigeria

The increasing overdependence of Nigerian economy on imports has necessitated the need to continually examine the effect of exchange rate shocks in consumer prices. The paper adopts a Structural Vector autoregressive to estimate the pass-through effect of exchange rate changes to consumer prices. Using the Variance Decomposition analyses, the study found a substantially large exchange rate pass-through to inflation in Nigeria. Finding shows that exchange rate has been more important in explaining Nigeria’s rising inflation phenomenon than the actual money supply. Therefore, it is recommended that Nigerian economy focuses on policies that ensure exchange rate stability and sound monetary surveillance