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The role of technical indicators in exchange rate forecasting

Panopoulou, Ekaterini, Souropanis, Ioannis (2019) The role of technical indicators in exchange rate forecasting. Journal of Empirical Finance, 53 . pp. 197-221. ISSN 0927-5398. (doi:10.1016/j.jempfin.2019.07.004) (KAR id:75519)

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Official URL
https://doi.org/10.1016/j.jempfin.2019.07.004

Abstract

Forecasting exchange rates is a subject of wide interest to both academics and practitioners. We aim at contributing to this vivid research area by highlighting the role of both technical indicators and macroeconomic predictors in forecasting exchange rates. Employing monthly data ranging from January 1974 to December 2014 for six widely traded currencies, we show that both types of predictors provide valuable information about future currency movements. To efficiently summarise the information content in candidate predictors, we extract the principal components of each group of predictors. Our findings suggest that combining information from both technical indicators and macroeconomic variables significantly improves and stabilises exchange rate forecasts versus using either type of information alone.

Item Type: Article
DOI/Identification number: 10.1016/j.jempfin.2019.07.004
Uncontrolled keywords: Exchange rate predictability, Principal components Forecast, combination Technical, indicators Macroeconomicfundamentals
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Ekaterini Panopoulou
Date Deposited: 23 Jul 2019 15:34 UTC
Last Modified: 16 Feb 2021 14:06 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/75519 (The current URI for this page, for reference purposes)
Panopoulou, Ekaterini: https://orcid.org/0000-0001-5080-9965
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