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TIME SERIES ANALYSIS OF FOREIGN EXCHANGE RATE IN CLMV COUNTRIES
https://meral.edu.mm/records/8053
https://meral.edu.mm/records/8053105a65f9-c212-4873-b91b-c3f0d534014b
3fefe466-e2ef-48fc-b565-26e4b26fd42f
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EI MOH MOH NYEIN, AS.pdf (1.7 MB)
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Title | ||||||
Title | TIME SERIES ANALYSIS OF FOREIGN EXCHANGE RATE IN CLMV COUNTRIES | |||||
Language | en | |||||
Publication date | 2021-07-01 | |||||
Authors | ||||||
EI MOH MOH NYEIN | ||||||
Description | ||||||
This paper is concerned with the monthly exchange rate between the KHR/USD, LAK/USD, MMK/USD and VND/USD. The objectives of this paper is to investigate the statistical model which models the most appropriate for forecasting of foreign exchange rate in CLMV countries and to forecast the future value of foreign exchange rate in CLMV countries based on fitted models. In the analysis, the suggested model is confirmed by following the Box-Jenkins methodology. In this paper, monthly data of foreign exchange rate in CLMV countries from April 2012 to December 2020 by the International Financial Statistics are studied. After applying Box-Jenkins methodology, the best fitted SARIMA (1, 0, 0) (2, 1, 0)12 model in Cambodia, ARIMA (1,2,1) model in Lao, ARIMA (1,1,0) model in Myanmar and ARIMA (0,1,0) model in Vietnam have been obtained. Finally, forecasting has been made for foreign exchange rate in CLMV countries from January 2021 to December 2021. The predicted rate of USD are found that Cambodia will increase from January 2021 to September 2021 and then will decrease from November 2021 to December 2021, Lao will continue to grow the next year, Myanmar will increase the next year and Vietnam will continue to grow the next year. It was found the forecast values fall within the 95% lower and upper limits. Therefore, the ARIMA model is suitable and this model helpful for the government functionaries, monetary policymakers, economists and other stakeholders. |
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Keywords | ||||||
CLMV countries, ARIMA model, FOREIGN EXCHANGE RATE, TIME SERIES | ||||||
Thesis/dissertations | ||||||
CO-OPERATIVE UNIVERSITY, SAGAING |