An Application Of Exchange Rate Forecasting In Turkey

Authors : Aykan AKINCILAR, İzzettin TEMİZ, Erol ŞAHİN

Pages : 817-828

View : 21 | Download : 13

Publication Date : 2011-12-16

Article Type : Research Paper

Abstract :In this study, exchange rate forecasting is studied which plays a key role in free market systems. Official daily data of Central Bank of The Republic of Turkey insert ignore into journalissuearticles values(CBRT); are used for USD/TL insert ignore into journalissuearticles values($/TL);, EURO/TL insert ignore into journalissuearticles values(€/TL); and POUND/TL insert ignore into journalissuearticles values(£/TL); pars. Moving averages insert ignore into journalissuearticles values(MA); method, single exponential smoothing method, Holt’s method,Winter’s method and ARIMA models are applied to the each pars Performance of the models are assessed with the performance criteria of mean absolute percentage error insert ignore into journalissuearticles values(MAPE);, root mean square errors insert ignore into journalissuearticles values(RMSE); and mean square error insert ignore into journalissuearticles values(MAE);. As a result of study, successfully application of the methods based on trend analysis is exhibited for exchange rates in Turkey. These methods are evaluated according to MAPE, RMSE and MAE criteria and the best results are obtained by Winter’s method which means that Winter’s method is an useful method to forecast exchange rates for the given time interval in Turkey.
Keywords : Time series analysis, Box Jenkins approach, ARIMA, Exchange rate forecasting, techniques based on time series analysis