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A Comparison of the /US$ and US$/Yen Forecasts

1 Jul 1986 RDP 8609
Philip W. Lowe and Robert G. Trevor
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
Philip W. Lowe and Robert G. Trevor
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
Philip W. Lowe and Robert G. Trevor
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
Philip W. Lowe and Robert G. Trevor
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
Philip W. Lowe and Robert G. Trevor
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
Philip W. Lowe and Robert G. Trevor
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
Philip W. Lowe and Robert G. Trevor
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
Philip W. Lowe and Robert G. Trevor
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
Philip W. Lowe and Robert G. Trevor
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