In Search of a Warning Strategy Against Exchange-rate Attacks: Forecasting Tactics Using Artificial Neural Networks

Andreou, Andreas S. and Zombanakis, George A. and Georgopoulos, E. F. and Likothanassis, S. D. (2000): In Search of a Warning Strategy Against Exchange-rate Attacks: Forecasting Tactics Using Artificial Neural Networks. Published in: Discrete Dynamics in Nature and Society , Vol. 5, No. 2 : pp. 121-137.

Abstract

The contribution that this paper aspires to make is the prediction of an oncoming attack against the domestic currency, something that is expected to increase the possibilities of successful hedging by the authorities. The analysis has focused on the Greek Drachma,which has suffered a series of attacks during the past few years, thus offering a variety of such "shock" incidents accompanied by frequent interventions by the authorities. The prediction exercised here is performed in a discrete dynamics environment, based on the daily fluctuations of the interbank overnight interest rate, using artificial neural networks enhanced by genetic algorithms. The results obtained on the basis of the forecasting performance have been considered most encouraging, in providing a successful prediction of an oncoming attack against the domestic currency.

• Item Type: MPRA Paper
• Language: English
• Keywords: Shocks; Interest-rate; Forecasting; Neural-networks; Genetic algorithms
• Subjects: O - Economic Development, Innovation, Technological Change, and Growth > O2 - Development Planning and Policy > O24 - Trade Policy ; Factor Movement Policy ; Foreign Exchange Policy; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C45 - Neural Networks and Related Topics

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