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A Comparison of the /US$ and US$/Yen Forecasts
1 Jul 1986
RDP
8609
1. Mean Absolute Percentage Error. Forecast. $A/US$. (Hedge Settlement Rate). US$/Yen. ... market. Table 5. Standard Deviation of Weekly Forecasts. $A/US$. (Hedge Settlement Rate).
https://www.rba.gov.au/publications/rdp/1986/8609/comparison-of-the-$a-us$-and-us$-yen-forecasts.html
Forecast Performance of the Group Plan and /us$ Forecasts
1 Jul 1986
RDP
8609
RDP 8609: The Performance of Exchange Rate Forecasts 4. Forecast Performance of the Group Plan and $A/us$ Forecasts.
https://www.rba.gov.au/publications/rdp/1986/8609/forecast-performance-of-the-group-plan-and-$a-us$-forecasts.html
The Performance of Exchange Rate Forecasts
1 Jul 1986
RDP
8609
Research Discussion Papers contain the results of economic research within the Reserve Bank
https://www.rba.gov.au/publications/rdp/1986/8609.html
The Performance of Exchange Rate Forecasts
1 Jul 1986
RDP
8609
Research Discussion Paper – RDP 8609 The Performance of Exchange Rate Forecasts. Philip W. Lowe and Robert G. Trevor. July 1986. 693. KB. Endnote. The views expressed herein and any remaining errors are our own and should not be attributed to our
https://www.rba.gov.au/publications/rdp/1986/8609/
The Forecasts
1 Jul 1986
RDP
8609
Figure 1 is a plot of the actual (solid line) and forecasted (broken line) $A/US$ exchange rate. ... The bulk of the depreciation of the US$, however, occurred in late September 1985.
https://www.rba.gov.au/publications/rdp/1986/8609/forecasts.html
Conclusions
1 Jul 1986
RDP
8609
However, unlike the $A/US$ forecasts the group mean US$/Yen forecasts also outperformed the no change model on the mean square error criterion. ... Further, the average standard deviation of individual weekly forecasts was greater for the $A/US$
https://www.rba.gov.au/publications/rdp/1986/8609/conclusions.html
Introduction
1 Jul 1986
RDP
8609
The results of this comparison for the $A/US$ exchange rate forecasts are presented in Section 4, while Section 5 compares the performance of these forecasts with that of forecasts of ... the US$/Yen exchange rate.
https://www.rba.gov.au/publications/rdp/1986/8609/introduction.html
Performance of Individual Forecasters
1 Jul 1986
RDP
8609
Table 6. Spearman Rank Correlations Coefficients. $A/US$. US$/Yen. A. i. /AGM. ... 0.7526. (0.0001). 1.0000. $A/US$. US$/Yen. A. i. /ANC. i. S. i.
https://www.rba.gov.au/publications/rdp/1986/8609/performance-of-individual-forecasters.html
Benchmark Models and Evaluation Criteria
1 Jul 1986
RDP
8609
These equations were used to provide the first ex-ante one step ahead forecasts of the $A/US$ hedge settlement rate (that is the forecast of the hedge settlement rate for
https://www.rba.gov.au/publications/rdp/1986/8609/benchmark-models-and-evaluation-criteria.html