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The aim of this study consists in analyzing the importance of the exchange rate forecast using the Box-Jenkins models, also known as Auto Regressive Integrated Moving Average (ARIMA) models. The first part of the paper presents the main research in this field, which can be classified in two categories (studies applying classical methods, such as Box-Jenkins models and studies which rely on sophisticated prediction tools), and summarizes the main findings of some of the studies applying Box-Jenkins models. In the second part of the paper we performed a EUR/RON exchange rate analysis and forecasting, based on testing several AR, MA and ARMA candidate processes, in order to find out the best fitting model specification. We adopted the following strategy: i) an initial time series had been used for testing various model specifications, identify the best performing one and making a forecast of the EUR/RON exchange rate; ii) after comparing the accuracy of this forecast with the real level recorded by the exchange rate at end of May 2018, we conducted a second forecast, for the period September 2018 - March 2019. The initial time series employed has daily frequency and covers the timeframe July 4, 2005 - December 5, 2017, while the second time series used covers the period July 4, 2005 - August 31, 2018. The empirical findings have passed the goodness-of-fit tests and show a good predictive power. The first forecast performed for a six month period (December 2017 - May 2018) has indicated a slow pace, persistent increase of the EUR/RON exchange rate, which was confirmed by the expectations of market participants (financial analysts, banks' research departments). The second forecast, which covers the last quarter of 2018 and the first quarter of 2019, indicates a similar slow-pace rising trend. [ABSTRACT FROM AUTHOR]

The aim of the paper is to evaluate the role of the exchange rate in shaping the export of Poland and selected European Union countries: Sweden, the United Kingdom, Hungary, Denmark and the Czech Republic in the years 2008-2016. The author presented exchange rate regimes in the analyzed countries and assessed if the choice of applied exchange rate system had a significant impact on the variability of nominal exchange rates. Subsequently, changes in real effective exchange rates (REER) and their impact on export competitiveness were examined. In order to assess the role of the exchange rate as an automatic counter-cyclical mechanism, the author evaluated changes in trade balances in the analysed countries and the correlation between REER and trade balance using panel regression analysis. Main conclusions of the analysis: - REER was an important factor affecting the trade balance, particularly in the group of developing countries, - the improvement in the trade balance during the crisis resulted from a strong decline in domestic demand and an improvement in price competitiveness of exports resulting from the depreciation of exchange rates. [ABSTRACT FROM AUTHOR]

Objective: To describe the dynamics of the joined currency and stock markets system in Russia and study the behavior of significant unobservable components of system state, in particular the dollar investment in the Russian currency. System structural model is proposed in which the main short-term control variable is the price of oil and when investing in currency rubles mass is taken from the stock market and vice versa. We use logarithms to obtain a linear relationship between due output vector and state vector. The Kalman filter uses observable quantities: the USD/RUR rate and the MICEX index, system operating parameters are estimated by minimizing the prediction error in observable variables. System parameters' economic interpretation is given. Numerical calculations are carried out based on daily data from 1 November 2015 to 20 December 2015 and lead to following results. At decrease price of oil by $ 1 (~ 2%) on the same day rubles mass invested in dollars increased by 1%, 2 days later by another 0.5%. Investing of dollars, a day later decreases a few, then 2 days later increases significantly (about 1%). With increasing oil prices reverse processes goes. Somewhat unexpected result - dollars investments growth (in total) for the period of increasing its rate. With that, inflow/outflow of dollars is behind growth / decline of its rate approximately 6 days. Discusses the relationship of found results with the indicator Accumulation/Distribution of pair USD/RUR on the FOREX market. It is interesting to reveal from estimated parameters that rubles investments into dollars is about 30% of the capitalization of the MICEX index. Found results can be used in predicting and managing a national economy. [ABSTRACT FROM AUTHOR]

The article generally analyses the causes leading up to the foreign exchange intervention by the Czech National Bank in November 2013 and its consequences. It explains the reasons for further easing monetary policy and for choosing the exchange rate instrument and its specific level. The article examines the use of exchange rate by the Czech National Bank as a monetary policy instrument at the zero lower bound on interest rates and discusses its expected benefits in the case of the Czech Republic. The most interesting aspects of the Czech National Bank's experience include the debate on how to use the exchange rate as a monetary policy instrument at the zero lower bound and on how transparent it should be. This debate eventually resulted in the choice of a publicly declared, one-sided exchange rate commitment. The use of foreign exchange interventions to ease monetary conditions in an open economy is a rational choice. This monetary instrument is used only when interest rates are at a zero level, i.e., when the standard natural tool is no longer available. The pass through at the zero lower bound is significantly higher than that assumed on the basis of past experience during normal times. The depreciation helps net exports, which is a good side-effect stimulating the economy. The power of the central bank when intervening against its own currency is not limited by the volume of reserves. In essence, in an economy with abundant liquidity in the banking sector, such as the Czech Republic, foreign exchange interventions are the most efficient way to implement quantitative easing. The article has a nature of applied research focused on the field of monetary policy. The subject of research is the foreign exchange intervention by the Czech National Bank. The article contains analytical views of various unconventional monetary policy measures and formulates synthetic viewpoints based on multi-criteria exploration. [ABSTRACT FROM AUTHOR]

The article analyzes the causes and consequences of devaluation in Kazakhstan, as well as in oil-exporting countries of Russia and Azerbaijan. It also analyzed the monetary policy of Kazakhstan. Reasons for devaluation are both external and internal factors, identification of which is based on collection and analysis of macroeconomic and microeconomic indicators. Devaluation rate in the CIS exporting countries is estimated on the basis of statistical indicators of dynamics of relations of Kazakh tenge exchange rate currency, Russian Ruble and Azerbaijani Manat to the US dollar. The method of the correlation analysis is used for definition of influence of the world oil prices for exchange rates. In the analysis of a monetary policy of the specified countries we used methods of historical and logical unity, methods of dialectical cognition, and the comparative, mathematical and statistical analysis. [ABSTRACT FROM AUTHOR]

The undervaluation of the national currency may lead both to the acceleration of economic growth caused by the growth of the price competitive capability of export and the protection of the internal market, as well as to the emergence of losses in course of devaluation that cannot be compensated by the following economy growth. The Russian ruble demonstrates vulnerability to the shocks at the resource markets, and its deep devaluations are provoked by the drastic falls of oil prices. The analysis carried out in this paper with the purpose to evaluate the influence that the exchange rate fluctuation has on the volume and the commodity structure of import shows that in the short term the weakening of the national currency has little influence on the structure of the goods import. A deep devaluation results in the acceleration of the inflation rate, together with the growth of expenses measured in the internal prices. A subsequent recovery of the real exchange rate due to the outrunning growth of the internal prices eliminates the stimulating effect of the devaluation. [ABSTRACT FROM AUTHOR]

When some European country willing to aspire to the membership in the Eurozone, at first it must cover the Maastricht convergence criteria, which are divided into fiscal (government deficit, public debt) and monetary (price stability, exchange rate stability, stability of long-term interest rates). The basic requirements for criteria were settled at the time of their formulation in the Protocol to the Treaty of European Union. There was the requirement to ensure a high degree of sustainable economic convergence. Currently, global uncertainty and significant financial fluctuations in the world and off course in Europe, appears to be important question of whether the fulfillment of these nominal criteria is sufficient condition, for the adoption of the common European currency as a guarantee of future success Eurozone membership. The basic objective of the article is through the analysis of monetary convergence criteria - price stability - to assess the merits of sustainability monetary criteria in selected European Union countries. We concluded that it is a certain distortion ability to express reference value determined by developments in the EU member states (and not members of the Eurozone). However, it should ensure price stability as a precondition for the smooth functioning of the euro area, covered by a common monetary policy of the ECB. [ABSTRACT FROM AUTHOR]

The purpose of the article is to assess the exchange rate forecasting possibilities with a modified microstructure approach model. In this research, the main model's element order flow is represented by dealer clients' long/short positioning ratio. A regression analysis is done to distinguish whether it is possible to forecast the exchange rates with clients' long/short positioning ratio. Then three investment strategies are composed to compare the effectiveness of the forecasts. A conclusion is made that retail traders tend to position against the present exchange rate trend; moreover, as shown by the investment strategy analysis, the trend of the price changes just when the clients give up on their expectations and start to reverse their positions. On the other hand, none of the composed active strategies were able to outperform a simple buy and hold strategy. [ABSTRACT FROM AUTHOR]