CONSTRUCTING AN EXCHANGE RATE MODEL OF THE LOCAL CURRENCY IN R PROGRAM
Аннотация
Научная статья посвящена исследованию по выявлению факторов, влияющих на обменный курс национальной валюты в Казахстане с использованием программы R, а также изучению применимости авторегрессионной интегрированной скользящей средней (ARIMA) моделей для построения его прогнозов в краткосрочной перспективе.
Об авторах
N. B. UssenbayevКазахстан
T. B. Akhmetov
Казахстан
A. O. Agymbai
Казахстан
Y. M. Raushanov
Казахстан
Список литературы
1. WTO Statistics Database (2016), “Trade Profile. Kazakhstan”, available at: http://stat.wto.org/CountryProfile/WSDBCountryPFView.aspx?Language=S&Country=KZ (Accessed July 2018).
2. Hasanov, F., Mikayilov, J., Bulut, C., Suleymanov E., Aliyev, F. (2017), “The Role of Oil Prices in Exchange Rate Movements: The CIS Oil Exporters”, Economies, Vol. 5 No 13, pp. 1-18.
3. Frankel, J.A. (2017), “The Currency-Plus-Commodity Basket: A Proposal for Exchange Rates in OilExporting Countries to Accommodate Trade Shocks Automatically”, HKS Working Paper No. RWP17-034, Harvard University, available at: https://ssrn.com/abstract=3024910 (Accessed April 2018)
4. OECD (2016), “Puti razvitiya OESR. Kompleksnyy stranovoy obzor Kazakhstana. Chast’ II. Uglublennyy analiz i rekomendatsii”, available at: https://www.oecd.org/dev/MDCR_Kazakhstan_Vol_2_web.pdf (Accessed July 2018) (In Russian)
5. Zakon.kz (2018), “Pochemu v posledneye vremya tenge to rastet, to padayet”, available at: https://www.zakon.kz/4925549-pochemu-v-poslednee-vremya-tenge-to.html (Accessed July, 25, 2018) (In Russian)
6. Tengrynews (2017), “Ekspert proanaliziroval, chto sil'neye vliyayet na kurs tenge - neft' ili rubl'”, available at: https://tengrinews.kz/private_finance/ekspert-proanaliziroval-silnee-vliyaet-kurs-tenge-neftrubl-324106/ (Accessed July, 25, 2018) (In Russian)
7. Ahmad, A.H., R. Moran Hernandez, M.R. (2013), “Asymmetric Adjustment Between Oil Prices and Exchange Rates: Empirical Evidence from Major Oil Producers and Consumers”, Journal of International Financial Markets, Institutions and Money, Vol. 27, pp. 306-317. DOI.org/10.1016/j.intfin.2013.10.002
8. Cashin, P., F., R. Céspedes, L.F., Sahay, R. (2004), “Commodity currencies and the real exchange rate”, Journal of Development Economics, Vol. 75, Issue 1, pp. 239-268.
9. Egert, B., Leonard, C., S. (2007), “The Dutch Disease in Kazakhstan: An Empirical Investigation”, Focus on European Economic Integration, Vol. 2, pp. 85-108.
10. Habib, M., Kalamova, M. (2007), “Are There Oil Currencies? The Real Exchange Rate of Oil Exporting Countries”, Working Paper Series No 839, European Central Bank, Frankfurt, 17 Dec 2007, available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1032834 (Accessed July, 18, 2018)
11. Mohammad, J., R., Mohammadi, H. (2008), “Oil Prices and Real Exchange Rates in Oil-Exporting Countries: A Bounds Testing Approach”, The Journal of Developing Areas, Vol. 45, pp. 313-322.
12. Ferraro, D., Rogoff, K., Rossi, B. (2011), “Can Oil Prices Forecast Exchange Rates?”, Working Paper, Federal Reserve Bank of Philadelphia, pp. 11-34.
13. Hudson, D., Harri, A., Nalley, L. (2009), “The Relationship between Oil, Exchange Rates, and Commodity Prices”, Journal of Agricultural & Applied Economics, Vol. 41 No. 2, pp. 501-510.
14. Cayen, J.P., Coletti, D., Lalonde, R., and Maier, P. (2010), “What Drives Exchange Rates? New Evidence from a Panel of U.S. Dollar Exchange Rates”, Working Paper, Bank of Canada.
15. Engel, C., Mark, N., West, K.D. (2007), “Exchange Rate Models Are Not as Bad as You Think”, NBER Macroeconomics Annual, Vol. 22, pp. 381-441.
16. Chen, Y., Rogoff, K.S. (2003), “Commodity Currencies”, Journal of International Economics, Vol. 60, pp. 133-169.
17. Akincilar, A., Temiz, İ., Şahin, E. (2011), “An Application of Exchange Rate Forecasting in Turkey”, Gazi University Journal of Science, Vol. 24 No. 4, pp. 817-828.
18. Ayekple, Y.E., Harris, E., Frempong, N.K., Amevialor, J. (2015), “Time Series Analysis of the Exchange Rate of the Ghanaian Cedi to the American Dollar”, Journal of Mathematics Research, Vol. 7 No. 3, pp. 46-53.
19. Nwankwo, S. C. (2014) “Autoregressive Integrated Moving Average (ARIMA) Model for Exchange Rate (Naira to Dollar)”, Academic Journal of Interdisciplinary Studies, Vol. 3 No. 4, pp. 429-433.
20. National Bank of Kazakhstan (2018), “Statistics. Exchange Rates. Official Foreign Exchange Rates on average for the period”, available at: http://www.nationalbank.kz/?docid=364&switch=english (Accessed July, 25, 2018)
21. Investing.com (2018), “Real Time Commodity Futures Price”, available at: https://www.investing.com (accessed July, 27, 2018)
22. Trade Economics (2018), “Kazakhstan Exports 1998-2018”, available at: https://tradingeconomics.com/kazakhstan/exports-by-category (accessed July, 25, 2018)
23. Hyndman, R., J., George Athanasopoulos, G. (2018) “Lagged Predictors”, Forecasting: Principles and Practice, OTexts, available at: https://otexts.org/fpp2/lagged-predictors.html (Accessed June, 23, 2018)
24. Bessmertnyy M. (2017), “Neft’ i zoloto. Kakaya mezhdu nimi svyaz’?”, Blog uspeshnogo treydera, available at: http://newbie-forex-trader.blogspot.com/2017/03/blog-post_15.html (Accessed June 2018) (In Russian)
Рецензия
Для цитирования:
Ussenbayev N.B., Akhmetov T.B., Agymbai A.O., Raushanov Y.M. CONSTRUCTING AN EXCHANGE RATE MODEL OF THE LOCAL CURRENCY IN R PROGRAM. Central Asian Economic Review. 2018;(4):26-35.
For citation:
Ussenbayev N.B., Akhmetov T.B., Agymbai A.O., Raushanov Y.M. CONSTRUCTING AN EXCHANGE RATE MODEL OF THE LOCAL CURRENCY IN R PROGRAM. Central Asian Economic Review. 2018;(4):26-35.