Book: USD INR: Forecast and Risk Management Techniques
Author: Vinay Sudhakar Kshirsagar, Omkar Vinay Kshirsagar
Publisher: CP Publication
Pages: 144; Price: Rs 490
This book explains a forecasting model refined further by using exponential smoothing and moving average. The original model along with results using these two new methods was regressed again (by updating data up to 2016) and got 96% correlation and 93% dependency with only approx 3.5% standard error. Along with the model he has also added few chapters related to applicability of the exchange rate forecast to corporations and banks in order to manage their foreign exchange risks.
In addition to the contents in the First edition, second edition contains how to build a model using Exponential Smoothing and Moving average method and regression from the data obtained from Exponential Smoothing and Moving average method apart from Mathematical model.
This book throws light on various factors/determinants that have a direct or indirect connection with the currency exchange rate. Additionally, factors such as interest rate, growth rate, and inflation have been explained in detail with appropriate examples and graphical representations, providing a clear picture of the whole scenario on how these factors influence the currency exchange, both positively and negatively.
Through this book:
- The data related to India and the US for the last 33 years has been analysed and ascertained and the impact of seven important variables on the exchange rate has been elaborated.
- New idea, approach and analytical method for evaluating and studying the impact of the several variables on exchange rate has been elaborated.
- A mathematical and statistical model exhibiting relationship and correlation with the exchange rate has been explained.
- Both the above models are tested on the past date and this gives over 80% dependencies.
- Forecasting of exchange rates based on tested models, mathematically and statistically, has been done.
With non-quantifying variables, reasonable estimations can be made.