CONSTRUCTING AN EXCHANGE RATE MODEL OF THE LOCAL CURRENCY IN R PROGRAM
Abstract
Purpose – The main purpose of this paper is to reveal core factors influencing the exchange rate of the national currency in Kazakhstan, a commodity currency, using R program. The other purpose is to understand the applicability of an Autoregressive Integrated Moving Average (ARIMA) model for constructing such exchange rate model in a short-term period.
Methodology – The paper develops a forecasting ARIMA model of exchange rate based on econometric, statistical and time-series analysis. It includes some data of the exchange rate and prices of oil, mineral and agricultural products and some aspects reflecting a construction of a solid model according to conventionally accepted criteria.
Originality/value – Authors, according to their belief and to their extent of expertise, tried to consider all relevant factors influencing the exchange rate and conducted a research that revealed variables influencing on the value of the national commodity currency and forming its exchange rate.
Findings – One of important results of this paper was development of an ARIMA model, which could be applied to forecast the exchange rate of the local currency in a short-term period. The strong correlations were confirmed among such financial components as: exchange rate, oil, wheat, some metals and the Russian ruble. A forecast for the exchange rate of the local currency is provided.
About the Authors
N. B. Ussenbayev
University Narxoz
Kazakhstan
Kazakhstan
Associate professor
Almaty
T. B. Akhmetov
University Narxoz
Kazakhstan
Kazakhstan
PhD, Associate professor
Almaty
A. O. Agymbai
University of Foreign Languages and Business Career
Kazakhstan
Kazakhstan
Candidate of economic sciences
Almaty
Y. M. Raushanov
Narxoz University
Kazakhstan
Kazakhstan
PhD student
Almaty
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Review
For citations:
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.
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