Campus Only Senior Thesis
Bachelor of Arts
© 2013 Xiaoyan Huang
This study creates a model to predict short-term exchange rates as a combination of the relative purchasing power parity model (Grossman and Simpson 2011) and the interest power parity model. I then use the statistical techniques ARMA and GARCH to account for the variance of the terms. Previous works considered the effects of these models individually, but mine consider them in unison. I consider both in-sample and out-of-sample tests. I use data on five major exchange rates (JPY/USD, CAD/USD, CHF/USD, GBP/USD, and AUD/USD) sampled at a monthly frequency from 1989-2013. My model statistically significantly predicts these exchange rates over the January 2012 to January 2013 period.
Huang, Xiaoyan, "Predicting Short-Term Exchange Rates with a Hybrid PPP/UIP Model" (2013). Scripps Senior Theses. 236.
This thesis is restricted to the Claremont Colleges current faculty, students, and staff.