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FINC 645 - International Finance   Tags: business, classguide, finance  

This class guide assist in obtaining historical exchange rate and macroeconomic data necessary to develop a regression model for forecasting currency movements.
Last Updated: Jun 3, 2014 URL: Print Guide RSS UpdatesEmail Alerts
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Key Databases

  • Economist Intelligence Unit (EIU)  
    EIU provides country profiles and reports for 200+ countries. Also allows access to key economic and market data for the countries of your choice. Country Data package provides a comprehensive database of macroeconomic indicators and forecasts.
  • Conference Board
    Insight and commentary on key economic indicators
  • Thomson ONE: Investext  
    Brings together multiple sources including Worldscope, Thomson First Call, NewsEdge, Datastream and Extel to provide current financial and market information for U.S. and international public companies. Deal information covers mergers & acquisitions, equity & bond issues, and major loans. Price and constituent information on major indices and government economic data is also included. Additionally, contains the full text of over 3,000,000 analysts’ reports. (Note: This section of Thomson One's site can be found under the "Screening & Analysis" dropdown menu; choose "Research". Thomson One works best in Internet Explorer.)

Selecting Economic Data for Regression Analysis Using EIU

1)     Choose data package to build a new selection

a)     Select All Country Data

2)     Choose regions/countries

a)     Select the country, i.e. Germany

b)    Click add

3)     Choose series

a)     Select the Exchange rate LCU:$ (end-period)for the dependent variable (the variable you are trying to predict.  If trading parnter is a non-U.S. country, see section below on Obtaining Historical Exchange Rates for Non-U.S. Trading Partner

b)    Select desired dependent variables (at least three), i.e. interest rates and yields, inflation, current account, ect.

c)    Click add

4)     Choose years

a)  Select all years

b)  Click add

5)     View selection

a)     Click view data

6)     Export Series

a)     Select frequency:  Yearly, Quarterly, or Monthly

i)      Note:  Not all data is reported quarterly or monthly.

b)    Click export

c)     Click sort by country

d)    Click export

e)     Open or save the output in Excel



Developing the Regression Model in Excel

1)     Formatting the workbook

a)     Insert a new worksheet in the to current workbook and name “Data_Sheet”

b)    Within Data_Sheet use the Transpose function to convert row headings to column headings (transpose from vertical to horizontal)

c)     Use the Transpose function to convert the years and time series from rows to columns

2)      Evaluating the fit

a)     Using the Scatter Plot charting feature, develop scatter plots for each independent variable to determine how the strength of the relationship between the independent and dependent variables.

b)    Move scatter plots to new worksheet titled “Scatter Plot”.

c)     Select the variables with the strongest correlations for inclusion in the model. 

3)     Executing the regression analysis

a)     Goto “Datasheet” tab.

b)    Use the Data Analysis function to set up the regression analysis

c)     Select the exchange rate column for the Y input range.

d)    Select the remaining columns for the X input range.

i)      Note:  X input columns must be adjacent to each other

e)     Under output options, select New Worksheet Play.  Name the worksheet “Test_Results”

f)      Under residuals, select Residuals and Residual Plots.

g)    Click OK to execute.


Obtaining Historical Exchange Rates for Non-U.S. Trading Partner Using Thomson ONE

1)   From the menu on the left side, select Market Awareness.

i)      Select Currencies.

ii)    Select source and target currencies.

iii)   Select 10 years for time frame.

iv)   Select Quarterly for frequency.

v)     Click update.

vi)   Click the Excel icon to download the data.

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