ABSTRACT

This study sets out to explore the predictability of global foreign exchange rates vis-à-vis the South African rand using daily nominal exchange rates from January 2010 to February 2018. The estimation techniques include automatic portmanteau test, wild bootstrap variance ratio test, Dominguez–Lobato test for martingale difference hypothesis, and generalized spectral tests. We investigate the time-varying predictability by employing the fixed-length rolling window approach. The full sample results indicate significant predictability of some exchange rates while some suggest no predictability. The rolling window approach established that all the foreign exchange markets go through episodes of significant predictability and episodes of unpredictability. The currency investment space is dynamic and that makes it imperative for market participants to be adaptable.

摘要

本研究旨在探讨全球外汇汇率相对于南非兰特使用 2010 年 1 月至 2018 年 2 月的每日名义汇率。估计技术包括自动 portmanteau 检验、wild bootstrap 方差比检验、鞅差假设的 Dominguez-Lobato 检验和广义谱检验。我们通过采用固定长度滚动窗口方法来研究随时间变化的可预测性。完整的样本结果表明某些汇率具有显着的可预测性，而有些则表明不可预测。滚动窗口方法确定所有外汇市场都经历了重大可预测性事件和不可预测性事件。货币投资空间是动态的，这使得市场参与者必须具有适应性。