Currency Portfolio Predicting Model

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Joshan E.; HASANNEJAD M.; Vaziri M. T.

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Journal Paper

Paper Information

Journal: JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN Year:2020 | Volume:8 | Issue:32 Page(s): 195-217

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Information Journal Paper

Title

Currency Portfolio Predicting Model

Author(s)

Joshan E. | HASANNEJAD M. | Vaziri M. T. | Issue Writer Certificate

Keywords

foreign exchangeQ1

real exchange rateQ1

International reserveQ1

Momentum StrategyQ2

Abstract

In this study, using a basket of 5 most traded currencies as the base to measure currencies return (a basket with minimum variance in value), and applying variables affecting the exchange rate, we design a model for predicting and determining the best foreign exchange portfolio (in the sense of risk adjusted return), and then the output portfolios of the model, will compete the momentum based portfolio which is commonly used in forex and other financial markets. If there is a significant difference between the two models, the model presented in this study will be introduced as a model with the more ability than momentum investing strategy to predict the currency risk adjusted return. For research, quarterly data from 15 currencies (which includes the 15 most traded currencies) has been used since 1999 to 2018, and the Dynamic Panel method is used to process related data. The research findings indicate the power of the proposed model for predicting risk adjusted return of the currencies Also, the finding shows than the fundamental variables (Interest Rate and real exchange rate) have a positive relationship with the currencies return and the previous lags of currency return has a negative relation with the current return.

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APA: Copy

Joshan, E., HASANNEJAD, M., & Vaziri, M. T.. (2020). Currency Portfolio Predicting Model. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, 8(32 ), 195-217. SID. https://sid.ir/paper/405056/en

Vancouver: Copy

Joshan E., HASANNEJAD M., Vaziri M. T.. Currency Portfolio Predicting Model. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN[Internet]. 2020;8(32 ):195-217. Available from: https://sid.ir/paper/405056/en

IEEE: Copy

E. Joshan, M. HASANNEJAD, and M. T. Vaziri, “Currency Portfolio Predicting Model,” JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, vol. 8, no. 32 , pp. 195–217, 2020, [Online]. Available: https://sid.ir/paper/405056/en

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