Monday April 2, 2018 3:00 p.m. Yost 107
Master’s Project Advisor: Dr. Anirban Mondal
Title: The Empirical Analysis of Japanese Yen Exchange Rate
Abstract: The Japanese economy is the world’s second-largest national economy, and the Japanese yen is the third most traded currency in the foreign exchange market after the United States dollar and the euro. Because Japan trades large amount with the United States, and the U.S.dollar/Japanese yen pair is heavily traded in international currency markets,it is significant to forecast and explore the factors influencing Japanese exchange rate.
This project worked on univariate time series analysis: assessing the extent to which Japanese exchange rate’s forecasting accuracy may be affected by the move from Holt-Winters to ARIMA modeling, also did multivariate time series analysis: fitting an effective regression model with ARIMA errors for Japanese exchange rate and related macroeconomic variables to see the importance level of each factor taken into considerations and to understand the cause and effect on exchange rates.