文章基本信息

标题：Trading Macro-Cycles of Foreign Exchange Markets Using Hybrid Models
本地全文：下载
作者：Joseph Zhi Bin Ling ; Albert K. Tsui ; Zhaoyong Zhang 等
期刊名称：Sustainability
印刷版ISSN：2071-1050
出版年度：2021
卷号：13
期号：17
页码：9820
DOI：10.3390/su13179820
语种：English
出版社：MDPI, Open Access Journal
摘要：Most existing studies on forecasting exchange rates focus on predicting next-period returns. In contrast, this study takes the novel approach of forecasting and trading the longer-term trends (macro-cycles) of exchange rates. It proposes a unique hybrid forecast model consisting of linear regression, multilayer neural network, and combination models embedded with technical trading rules and economic fundamentals to predict the macro-cycles of the selected currencies and investigate the predicative power and market timing ability of the model. The results confirm that the combination model has a significant predictive power and market timing ability, and outperforms the benchmark models in terms of returns. The finding that the government bond yield differentials and CPI differentials are the important factors in exchange rate forecasts further implies that interest rate parity and PPP have strong influence on foreign exchange market participants.