Exchange rate forecasting : /Box-Jenkins method vs. neural networks

Üngör, Alper


Exchange rate risk management in Turkish banking sector: a portfolio model
Tütüncüoğlu, Almira; Ekinci, Nazım K.; Department of Economics (1995)
Exchange rate pass-through and inflation targeting
Gülşen, Eda; Özmen, Erdal; Department of Economics (2009)
In this study, we aim to investigate the impact of inflation targeting (IT) and the recent global disinflation on exchange rate pass-through (ERPT) using quarterly data from 1980:1 to 2009:1 for 51 industrial and emerging market (EM) countries. To this end, we employ not only the conventional panel data estimation methods but also the recent Common Correlated Effects Pooled estimation procedure by Pesaran (2006) which allows estimating the impact of common global shocks such as global inflation. We also exp...
Exchange Rate Regimes as Thresholds: The Main Determinants of Capital Inflows in Emerging Market Economies
Özmen, Erdal (2019-06-14)
This study investigates whether the impacts of the main common push (global financial conditions, GFC) and country-specific pull (growth) factors on capital inflows are invariant to the prevailing exchange rate regimes (ERRs) in emerging market economies. Our results suggest that endogenously estimated ERR thresholds do matter especially for the impact of GFC. The impact of GFC is substantially high under more flexible ERRs for all capital inflow types except FDI. FDI inflows are basically determined by the...
Exchange rate target zones: A literature survey
Karakurum, Kamer; Kasnakoğlu, Haluk; Department of Economics (1996)
Exchange rate pass-through into domestic price indicators: a sectoral analysis of Turkish economy
Özen, Emine Özgü; Akbostancı Özkazanç, Elif; Department of Economics (2011)
The question of exchange rate pass-through into domestic inflation is a widely analyzed issue due to its importance as regards to monetary policy, exchange rate policy and in general macroeconomic policy for open economies. Although most of the literature is focused on the exchange rate pass-through at the aggregate level, there are fewer studies that are done at the sectoral level for the Turkish economy. In this study by using a distribution chain of pricing model developed by McCarthy (2000), pass-throug...
Citation Formats
A. Üngör, “Exchange rate forecasting : /Box-Jenkins method vs. neural networks,” Middle East Technical University, 1998.