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COINTEGRATION, ERROR-CORRECTION MODELS, AND FORECASTING USING REALIGNED FOREIGN-EXCHANGE RATES
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DOI：10.1002/for.3980140603.png)
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This study employs error-correction models (ECMs) to forecast foreign exchange (FX) rates where the data-sampling procedures are consistent with the rules governing the settlement (delivery) of FX contracts in the FX market. The procedure involves matching (aligning) the forward rate to the 'actual' realized (future) spot rate at the settlement (delivery) date. This approach facilitates the generation of five different sets of subsamples of FX rate series for each currency. For comparative purposes, non-aligned month-end rates are also examined. The results indicate that the moments of the realized forecast errors for the same currency are not similar. Further, the ECMs derived are unstable, and their forecasting performance vary. The forecasting performance of the ECMs appear to be affected by the choice of the interval in which the sets of subsamples are observed. These results are attributed to the observed seasonal variation in FX rates.
Keyword:
UNBIASEDNESS HYPOTHESIS
UNIT ROOTS
COINTEGRATION
ERROR-CORRECTION MODELS
FORECASTING
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