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.
Download (2MB) | Preview
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|
|Original Title:||In Search of a Warning Strategy Against Exchange-rate Attacks: Forecasting Tactics Using Artificial Neural Networks|
|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
|Depositing User:||Dr. GEORGE ZOMBANAKIS|
|Date Deposited:||28. Oct 2009 16:57|
|Last Modified:||15. Nov 2013 12:52|
Adamopoulos, A., Andreou, A., Georgopoulos, E., Ioannou, N. and Likothanassis, S. (1997) Currency Forecasting Using Recurrently RBF Networks Optimized by Genetic Algorithms. Computational Finance 1997 (CF’97), London Business School.
Andreou, A., Georgopoulos, E., Likothanassis, S. and Polidoropoulos,P. (1997) Is the Greek Foreign Exchange-rate Market Predictable? A Comparative Study Using Chaotic Dynamics and Neural Networks. Proceedings of the Fourth International Conference on Forecasting FinancialMarkets, Banque Nationale de Paris and Imperial College,London.
Andreou, A., Georgopoulos, E., Zombanakis, G. and Likothanassis,S. (1998a) Testing Currency Predictability Using an Evolutionary Neural Network Model. Proceedings of the Fifth International Conference on Forecasting Financial Markets, Banque Nationale de Paris and Imperial College, London.
Andreou, A., Zombanakis, G., Georgopoulos, E. and Likothanassis,S. (1998b) Modeling and Forecasting Exchange-rate Shocks. Proceedings of 60eme International Conference on New Financial Instruments and Market Localisation, Applied Econometrics Association (AEA), Paris.
Andreou, A. S., Karytinos, A. and Pavlides, G. (2000) Nonlinear Time-series Analysis of the Greek Exchange-rate Market. International Journal of Bifurcation and Chaos, 10(7).
Bank of Greece (199 l) Report of the Governor, Athens.
Bank of Greece (1994) Report of the Governor, Athens.
Bank of Greece (1997) Report of the Governor, Athens.
Baxter, M. (1994) Real Exchange Rates and Real Interest Differentials. Journal of Monetary Economics, 33(1), 5-37.
Berg, A. and Pattillo, C. (1999) Are Currency crises Predictable? A Test. IMF Staff Papers, 46(2), 107-138.
Brissimis, S. N. and Leventakis, J. A. (1989) The Effectiveness of Devaluation: A General Equilibrium Assessment with Reference to Greece. Journal of Policy Modeling, 11(2),247-271.
De Grauwe, P., Dewachter, H. and Embrechts, M. (1993) Exchange-rate Theory. Blackwell, Oxford.
Frankel, J. A. (1993) On Exchange Rates. MIT Press. Haykin, S. (1994) Neural Networks, A Comprehensive Foundation.McMillan College Publishing Company, New York.
Karadeloglou, P. (1990) On the Existence of an Inverse j Curve.Greek Economic Review, 12, 285-305.
Karadeloglou, P., Papazoglou, C. and Zombanakis, G. A. (1998) Is the Exchange Rate an Effective Anti-inflationary Policy Instrument? Economia, 2(1), 47- 72.
Karytinos, A., Andreou, A. S. and Pavlides, G. (1999) Longterm Dependence in Exchange Rates. Journal of Discrete Dynamics in Nature and Society, 3(1).
Kim, J. C. B. and Mo, S. (1995) Cointegration and the Longrun Forecast of Exchange Rates. Economics Letters, 48, 353-359.
Koedijk, K. and Kool, C. (1994) Tail Estimates and the EMS Target Zone. Review of International Economics, 2(2), 1153-1165.
Leventakis, J. (1987) Exchange-Rate Models: Do they Work? Weltwirtschaftliches Archiv, 123, 363-376.
Levich, R. (1989) Forward Rates as the Optimal Future Spot Rate Forecast. Exchange-Rate Forecasting (Dunis, C. and Feeny, M. Eds.). Probus, Chicago.
Lewis, K. K. (1989) Can Learning Affect Exchange-rate Behavior? The Case of the Dollar in the Early 1980’s. Journal of Monetary Economics, 23, 79-100.
Majuca, R. (1992) Balance-of-payments Crises: Timing and Collapse of the Philippine Peso. Philippine Review of Economics and Business, 29(2), 231- 250.
Marsh, I. W. and Power, D. M. (1996) A Note on the Performance of Foreign Exchange Forecasters in a Portfolio Framework. Journal of Banking and Finance, 20,605-613.
Meese, R. and Rogoff, K. (1983) Empirical Exchange-rate Models of the Seventies. Journal of International Economics,14, 3-24.
Mehta, M. (1995) Foreign-exchange Markets. Neural Networks in the Capital Markets (Refenes, A. P. Ed.). Wiley, U.K.
Michalewicz, Z. (1996) Genetic Algorithms+Data Structures-- Evolution Programs. Springer-Verlag.
Pilbeam, K. (1995) Exchange-rate Models and Exchange-rate Expectations: An Empirical Investigation. Applied Economics,27, 1009-1015.
Pollock, A. C. and Wilkie, M. E. (1996) The Quality of Bank Forecasts: The Dollar-pound Exchange Rate 1990- 1993.European Journal of Operational Research, 91, 306-314.
Refenes, A. P. and Zaidi, A. (1995) Managing Exchange-rate Prediction Strategies with Neural Networks. Neural Networks in the Capital Markets (Refenes, A. P. Ed.). Wiley,U.K.
Rose, A. and Svensson, L. (1995) Expected and Predicted Realignments: The FF/DM Exchange Rate During the EMS, 1979-1993. Scandinavian Journal of Economics, 97(2), 173- 200.
Shah, S., Palmieri, F. and Datum, M. (1992) Optimal Filtering Algorithms for Fast Learning in Feed-forward Neural Networks. Neural Networks, 5, 779-787.
Siklos, P. and Tarajos, R. (1996) Fundamentals and Devaluation Expectations in Target Zones: Some New Evidence from the ERM. Open Economics Review, 7(1), 35-59.
Steurer, E. (1995) Non-linear Modeling of the DEM/USD Exchange Rate. Neural Networks in the Capital Markets (Refenes, A. P. Ed.). Wiley, U.K.
Taylor, M. P. (1995) The Economics of Exchange Rates. Journal of Economic Literature, XXXIII, 13-47.
West, K. D. and Cho, D. (1995) The Predictive Ability of Several Models of Exchange-rate Volatility. Journal of Econometrics, 69, 367- 391.
Verrier, M. (1989) Selection and Application of Currency Forecasts. Exchange-rate Forecasting (Dunis, C. and Feeny, M. Eds.). Probus, Chicago, 303-343.
Zombanakis, G. A. (1998) Is the Greek Exporters Price Policy Asymmetric? Greek Economic Review, 19(1).