We examine whether oil prices help produce accurate forecasts of the real broad effective exchange rate of the United Arab Emirates (UAE). Using monthly data for 1994–1999, we formulate a univariate moving average (MA) and an augmented moving average (A‐MA) model to generate multi‐period forecasts of UAE real exchange rates for 2000–2019. The MA model utilises past information in real exchange rates, while the A‐MA model utilises past information in both real exchange rates and oil prices. Our results indicate that oil prices help produce accurate forecasts of UAE real exchange rates only for 2000–2009; that is, for this period, the A‐MA forecasts are unbiased, outperform the MA forecasts and are directionally accurate. As for 2009–2019, we take a non‐parametric approach and show that oil price changes accurately predict directional change in UAE real effective exchange rates.

中文翻译：

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使用油价预测阿拉伯联合酋长国的实际有效汇率

我们研究了油价是否有助于准确预测阿拉伯联合酋长国（UAE）的实际广泛有效汇率。利用1994-1999年的月度数据，我们制定了单变量移动平均（MA）和增强移动平均（A-MA）模型，以生成2000-2019年阿联酋实际汇率的多期预测。MA模型使用实际汇率中的过去信息，而A‐MA模型使用实际汇率和油价中的过去信息。我们的研究结果表明在阿拉伯联合酋长国的实际汇率，油价有助于产生准确的预测只2000-2009年；也就是说，在此期间，A-MA预测是无偏见的，优于MA预测，并且方向准确。对于2009-2019年，我们采用非参数方法，表明油价变化能够准确预测阿联酋实际有效汇率的方向变化。