Research on the Relationship between Exchange Rate and Several Selected Variables
This article firstly uses theoretical analysis and technology of correlation and partial correlation analysis to select proper variables for following models. Then, discuss the co-integration relationship between exchange rate and selected variables with VAR models and Johansen co-integration test, and also builds up a VEC model applying to forecast fluctuation of exchange rate in long-term. Moreover, the article digs deeper in the pattern of mutual impact between exchange rate and selected variables considering the consequence of Granger Causality Test. Finally, based on the foregoing conclusions, the article shows the establishment of Stepwise Regression Model for daily forecasting of fluctuation of exchange rate, which takes more advantage of constantly updated data from stock market, for sake of people who need to make decision related to exchange rate every day.
exchange rate co-integration analysis causality test forecasting
CHEN Xiangyi
Mathematics institution, Leiden University, Netherlands
国际会议
威海
英文
610-626
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）