Management Today
  • Year: 2018
  • Volume: 8
  • Issue: 1

Prediction and Impulse of Major Currency Pairs Using VAR Model

1Research Scholar, Department of commerce, Pondicherry University, anjalyanju777@gmail.com

2Professor & Head, Department of commerce, Pondicherry University, deo_malavika@yahoo.co.in

Online published on 15 February, 2019.

Abstract

This paper aims to study the impulse response of major currency pairs and their impulse response of the exchange rates to the dynamic system in response to the external changes. For this the researcher used data of major currency pairs such as USD/JPY, EUR/USD and GBP/USD last 5 years monthly data from 2012 to 2017 September. And the last five years monthly data predicted using VAR Model and the researcher also check the response of the exchange rate to the external change.

Keywords

Prediction and impulse, major currency pairs, VAR model