TWO CURRENCIES : CAD AND AUD, HERE IS SOME DATA, PLEASE PROVIDE ALL SOLUTION.
Task 2 Forecasting foreign exchange rates (6% Marks) 1. Select two currencies on which you have already collected data and find corresponding national interest rates and inflation rates information from respective official sources (such as central banks or IMF). 2. Based on the spot exchange rates on January 1, 2020, estimate the expected exchange rate one month, three months, six months and one year using the power purchase parity and International Fischer Effect. 3. Compare your estimated spot exchange rates with the corresponding actuals rates. Are they different to the actuals? Explain why. Your findings should be presented as a report. All sources of information (such as bank names, text books, websites with addresses, etc) which you used to prepare your report should be cited appropriately. (You must attach the FX data tables and other relevant graphs with the soft copy of your report). (Word requirements for the report-2,000 (Maximum/excluding statistical data) A B C E F G H L M N Date 1 2 JPY/USD 116.92 D EURO/USD 0.9496 0.9567 1-Jan-17 3 AUD/USD 1.3815 1.3833 1.3913 1.3856 CAD/USD 1.3437 1.3443 1.3431 1.3302 117.55 4 2-Jan-17 3-Jan-17 4-Jan-17 5-Jan-17 6-Jan-17 0.9609 GBP/USD 0.8101 0.8145 0.8173 0.8115 0.8063 0.815 5 0.9534 117.77 117.25 115.36 116.91 AUD/USD 0.001302932 0.005783272 -0.004096888 -0.008949192 -0.007136615 0.005647646 -0.008168624 JPY/USD 0.0053883 0.001871544 -0.004415386 -0.016119403 0.0134362 -0.007612694 6 1.3732 1.3224 0.9427 7 1.3634 1.3237 0.9489 1.3217 0.9457 8 9 9-Jan-17 10-Jan-17 1.3711 1.3599 0.8222 0.8212 116.02 115.78 1.3232 -0.002068609 1.3571 11-Jan-17 12-Jan-17 1.3179 1.3147 0.819 0.8226 115.42 114.72 -0.002058975 -0.00935819 1.3444 0.9475 0.9451 0.9425 0.9418 0.9434 0.9335 1.3365 1.3111 114.55 13-Jan-17 16-Jan-17 17-Jan-17 0.8288 0.8296 10 11 12 13 14 15 16 17 1.3343 1 J K Change in exchange rate CAD/USD EURO/USD GBP/USD 0.000446528 0.007476832 0.005431428 -0.000892658 0.004390091 0.0034376921 -0.009604646 -0.007805183 -0.007096537 -0.00586378 -0.011222991 -0.006407887 0.000983061 0.006576854 0.010790029 -0.001510916 -0.003372326 0.008834356 0.001134902 0.001903352 -0.001216249 -0.004005441 -0.002532982 -0.002679006 -0.002428105 -0.002751032 0.004395604 -0.002738267 -0.000742706 0.007537078 0.004805125 0.001698874 0.000965251 -0.01017155 -0.010493958 -0.029050145 0.017484663 0.007712908 0.01204221 0.003843835 -0.003082811 -0.006256133 0.000225242 -0.002452549 -0.001110974 -0.00630536 -0.007055051 -0.014087988 -0.006043209 0.003444935 0.001504136 -0.006763946 -0.001501985 -0.008886108 0.001530339 0.006124422 0.003030686 0.004507602 -0.000961128 0.003399219 -0.002281716 -0.000855158 0.005018821 CCCC0771 nn0774022 1.3174 114.19 -0.005876227 -0.001646091 0.002398261 -0.01211215 1.3375 1.304 112.61 18-Jan-17 1.3213 1.3268 0.9407 0.8055 0.8152 0.8101 114.63 -0.003109345 -0.006064807 -0.001481869 -0.003142732 -0.013836588 0.017938016 0.00218093 -0.004439415 -0.014601731 0.009582964 -0.004394445 0.011034605 1.3329 1.3319 114.88 1.3227 19-Jan-17 20-Jan-17 23-Jan-17 24-Jan-17 114.37 0.9378 0.9355 0.9289 1.3322 1.3238 1.3224 18 19 0.8092 0.7978 0.799 1.3158 1.3189 1.3194 112.7 113.78 113.28 0.008779233 -0.007652487 -0.000226809 -0.002646703 0.000379104 0.000606336 0.005453719 -0.001205364 1.3069 0.9321 0.9307 0.9364 0.9355 20 21 22 1.3202 1.3089 25-Jan-17 26-Jan-17 27-Jan-17 30-Jan-17 21 la 17 Sheet1 0.7919 0.7943 0.797 0.801 1.3274 1.3148 1.3118 114.53 115.09 113.75 0.004889549 -0.011643062 23 1.3258 0.9347 CA 7010 1-1701 nnnnnO2 |:- 12920 Sheet2 Sheet3 + A B D E F G H 1 J K L M 1.3238 1.3032 0.9264 0.7948 -0.001508523 112.81 113.25 1.3184 1.3047 0.9286 0.7903 -0.004079166 1.3179 1.3026 0.9297 0.7982 112.78 -0.008879854 0.002374784 0.001184579 -0.0026890391 0.003343399 1.3058 1.3024 0.8004 1.3033 1.3086 0.9272 0.9303 0.9365 112.42 111.75 112.36 1.3054 1.3182 0.006664517 1.3145 0.9345 111.97 1.3109 1.3083 1.3147 0.9386 1.3127 1.309 31-Jan-17 1-Feb-17 2-Feb-17 3-Feb-17 6-Feb-17 7-Feb-17 8-Feb-17 9-Feb-17 10-Feb-17 13-Feb-17 14-Feb-17 15-Feb-17 16-Feb-17 17-Feb-17 20-Feb-17 21-Feb-17 22-Feb-17 23-Feb-17 24-Feb-17 27-Feb-17 28-Feb-17 1-Mar-17 0.9402 0.9434 0.9454 0.9432 1.3016 1.3093 1.3052 1.2973 1.2999 1.3041 1.3 1.3026 1.2983 1.2966 1.3038 1.3031 1.3059 1.3072 1.3077 1.3077 1.3072 1.3106 1.3105 1.3139 1.3164 1.3105 1.3104 1.3176 1.33 1.3325 0.8018 0.7994 0.7976 0.8003 0.8012 0.7983 0.8018 0.8025 0.8006 0.8056 0.8022 0.8016 0.8038 0.7965 0.8021 0.8035 0.8077 0.8134 0.8155 113.25 113.33 113.73 114.23 114.17 113.25 112.86 113.08 113.72 -0.006555877 0.001151013 -0.001609565 -0.000153539 0.004760442 0.007336084 -0.002806858 0.000152149 -0.00433559 -0.001375095 0.000382497 0 -0.000382351 0.002600979 -7.63009E-05 0.00259443 0.001902732 -0.00448192 -7.63068E-05 0.005494505 0.00941105 0.001879699 0.004953096 0001101021 -0.000379248 -0.009181273 -0.001914535 0.001611294 0.004213268 -0.00198337 0.003363143 -0.008455854 0.005915796 -0.003131444 -0.006052712 0.002004162 0.003231018 -0.003143931 0.002 -0.00330109 -0.001309405 0.005552985 -0.000536892 0.002148722 -0.002603568 0012000301 0.9371 0.9422 0.9418 0.949 0.9471 0.9451 0.9466 -0.007740325 -0.005661802 0.009996204 0.002756201 0.001749125 -0.002993265 -0.002251689 0.003385155 0.001124578 -0.003619571 0.004384317 0.000873036 -0.002367601 0.006245316 -0.004220457 -0.000747943 0.002744511 -0.009081861 0.00703076 0.001745418 0.005227131 -0.002135611 0.004387373 0.001704667 0.003403531 0.002119992 -0.002327057 -0.006467345 0.005442322 -0.000424538 0.007644935 -0.002002107 -0.002111709 0.001587134 -0.002112825 0.000846919 -0.008263736 0.003900363 -0.00415011 -0.003192055 -0.005959794 0.005458613 -0.003470986 0.011431633 0.000706402 0.003529516 0.004396377 -0.000525256 -0.008058159 -0.003443709 0.001949318 0.00565971 -0.003605346 -0.006177742 -0.004440103 0.005441085 0.000532292 113.31 112.61 112.11 112.72 112.78 0.9446 0.9454 0.9482 113.75 0.007057076 0.008600816 1.3025 1.3391 0.9519 2-Mar-17 2 Mar 17 Sheet1 0.002581756 0.002961709 0.00390213 10000100 114.42 1140 0.00589011 0.002100000 017 | : Sheet2 1 2270 Sheet3 00421 + 108.77 -0.004062377 1.3171 1.3256 5-Dec-19 6-Dec-19 9-Dec-19 10-Dec-19 11-Dec-19 0.9007 0.9046 0.9039 0.9015 -0.00082675 -0.000827434 -0.000342325 0.002191631 -0.000956742 108.68 108.56 -0.00210503 0.004329966 -0.000773823 1.3237 1.3231 1.3176 0.76 0.7611 0.7604 0.7601 0.7574 0.7595 0.7498 108.72 1.4601 1.4633 1.4619 1.4653 1.4689 1.4545 1.4476 1.4509 0.00232574 -0.002655161 0.001447368 -0.000919721 -0.000394529 -0.003552164 0.002772643 108.57 -0.003327787 0.002456835 -0.009803254 1.3187 0.8985 0.8985 0.8991 12-Dec-19 13-Dec-19 16-Dec-19 0 -0.001104159 0.001473839 -0.001379691 0.006815879 0.000731864 0.001279824 -0.000273898 109.31 109.39 109.53 109.5 1.317 1.3154 0.8974 0.7502 1.316 0.8968 0.7618 17-Dec-19 18-Dec-19 1.4526 1.4596 0.7646 109.55 1.3112 1.3126 -0.004743898 0.002279635 0.001171687) 0.004818945 -6.85119E-05 -0.005275779 -0.00082656 0.000456621 -0.002272555 0.006453572 -0.001433313 -0.000453275 -0.004156904 0.000834851 -0.001289148 -0.001214882 0.000456135 -0.003647416 0.001067724 0.001676063 -0.000380286 0.001749981 -7.59532E-05 -0.003038359 -0.003657143 -0.000535291 -0.000765111 0.8999 0.8992 0.9025 0.7687 1.4595 1.4518 109.36 1.3148 0.7696 109.41 1.3143 -0.0017343681 0.000457206 -0.000182799 0 0.9018 1.4506 1.4448 0.7731 0.7723 0.00066778 -0.00189078 -0.000668598 0.003456735 -0.000777864 0.003669929 -0.000775623 0 -0.000110889 -0.000554508 -0.006990679 -0.002011398 -0.001007726 -0.01277156 0.000533476 0.015462543 0.003675505 0.005362281 0.001170808 0.004547817 -0.001034795 -0.001035867 -0.002333117 -0.005586592 -0.003919519 -0.000918153 19-Dec-19 20-Dec-19 23-Dec-19 24-Dec-19 25-Dec-19 26-Dec-19 27-Dec-19 30-Dec-19 31-Dec-19 0.9018 -0.003998346 109.39 109.39 109.34 109.61 1.3166 1.3165 1.4451 1.4441 0.9017 0.9012 0.7715 0.7697 1.3125 1.4399 1.3077 0.8949 109.47 0.7654 0.7624 0.000207641 -0.000691994 -0.0029083861 -0.004653101 -0.002581636 -0.00045708 0.002469362 -0.001277256 -0.005298255 -0.000367343 0.8931 1.4332 1.4295 1.307 1.306 108.89 108.85 0.8922 0.7617 Volatility 0.004869213 0.004000979 0.004138522 0.005137018 0.004311052 Quaterly volatility 0.038648182 0.031756789 0.032848501 0.040773819 0.034217916 Task 2 Forecasting foreign exchange rates (6% Marks) 1. Select two currencies on which you have already collected data and find corresponding national interest rates and inflation rates information from respective official sources (such as central banks or IMF). 2. Based on the spot exchange rates on January 1, 2020, estimate the expected exchange rate one month, three months, six months and one year using the power purchase parity and International Fischer Effect. 3. Compare your estimated spot exchange rates with the corresponding actuals rates. Are they different to the actuals? Explain why. Your findings should be presented as a report. All sources of information (such as bank names, text books, websites with addresses, etc) which you used to prepare your report should be cited appropriately. (You must attach the FX data tables and other relevant graphs with the soft copy of your report). (Word requirements for the report-2,000 (Maximum/excluding statistical data) A B C E F G H L M N Date 1 2 JPY/USD 116.92 D EURO/USD 0.9496 0.9567 1-Jan-17 3 AUD/USD 1.3815 1.3833 1.3913 1.3856 CAD/USD 1.3437 1.3443 1.3431 1.3302 117.55 4 2-Jan-17 3-Jan-17 4-Jan-17 5-Jan-17 6-Jan-17 0.9609 GBP/USD 0.8101 0.8145 0.8173 0.8115 0.8063 0.815 5 0.9534 117.77 117.25 115.36 116.91 AUD/USD 0.001302932 0.005783272 -0.004096888 -0.008949192 -0.007136615 0.005647646 -0.008168624 JPY/USD 0.0053883 0.001871544 -0.004415386 -0.016119403 0.0134362 -0.007612694 6 1.3732 1.3224 0.9427 7 1.3634 1.3237 0.9489 1.3217 0.9457 8 9 9-Jan-17 10-Jan-17 1.3711 1.3599 0.8222 0.8212 116.02 115.78 1.3232 -0.002068609 1.3571 11-Jan-17 12-Jan-17 1.3179 1.3147 0.819 0.8226 115.42 114.72 -0.002058975 -0.00935819 1.3444 0.9475 0.9451 0.9425 0.9418 0.9434 0.9335 1.3365 1.3111 114.55 13-Jan-17 16-Jan-17 17-Jan-17 0.8288 0.8296 10 11 12 13 14 15 16 17 1.3343 1 J K Change in exchange rate CAD/USD EURO/USD GBP/USD 0.000446528 0.007476832 0.005431428 -0.000892658 0.004390091 0.0034376921 -0.009604646 -0.007805183 -0.007096537 -0.00586378 -0.011222991 -0.006407887 0.000983061 0.006576854 0.010790029 -0.001510916 -0.003372326 0.008834356 0.001134902 0.001903352 -0.001216249 -0.004005441 -0.002532982 -0.002679006 -0.002428105 -0.002751032 0.004395604 -0.002738267 -0.000742706 0.007537078 0.004805125 0.001698874 0.000965251 -0.01017155 -0.010493958 -0.029050145 0.017484663 0.007712908 0.01204221 0.003843835 -0.003082811 -0.006256133 0.000225242 -0.002452549 -0.001110974 -0.00630536 -0.007055051 -0.014087988 -0.006043209 0.003444935 0.001504136 -0.006763946 -0.001501985 -0.008886108 0.001530339 0.006124422 0.003030686 0.004507602 -0.000961128 0.003399219 -0.002281716 -0.000855158 0.005018821 CCCC0771 nn0774022 1.3174 114.19 -0.005876227 -0.001646091 0.002398261 -0.01211215 1.3375 1.304 112.61 18-Jan-17 1.3213 1.3268 0.9407 0.8055 0.8152 0.8101 114.63 -0.003109345 -0.006064807 -0.001481869 -0.003142732 -0.013836588 0.017938016 0.00218093 -0.004439415 -0.014601731 0.009582964 -0.004394445 0.011034605 1.3329 1.3319 114.88 1.3227 19-Jan-17 20-Jan-17 23-Jan-17 24-Jan-17 114.37 0.9378 0.9355 0.9289 1.3322 1.3238 1.3224 18 19 0.8092 0.7978 0.799 1.3158 1.3189 1.3194 112.7 113.78 113.28 0.008779233 -0.007652487 -0.000226809 -0.002646703 0.000379104 0.000606336 0.005453719 -0.001205364 1.3069 0.9321 0.9307 0.9364 0.9355 20 21 22 1.3202 1.3089 25-Jan-17 26-Jan-17 27-Jan-17 30-Jan-17 21 la 17 Sheet1 0.7919 0.7943 0.797 0.801 1.3274 1.3148 1.3118 114.53 115.09 113.75 0.004889549 -0.011643062 23 1.3258 0.9347 CA 7010 1-1701 nnnnnO2 |:- 12920 Sheet2 Sheet3 + A B D E F G H 1 J K L M 1.3238 1.3032 0.9264 0.7948 -0.001508523 112.81 113.25 1.3184 1.3047 0.9286 0.7903 -0.004079166 1.3179 1.3026 0.9297 0.7982 112.78 -0.008879854 0.002374784 0.001184579 -0.0026890391 0.003343399 1.3058 1.3024 0.8004 1.3033 1.3086 0.9272 0.9303 0.9365 112.42 111.75 112.36 1.3054 1.3182 0.006664517 1.3145 0.9345 111.97 1.3109 1.3083 1.3147 0.9386 1.3127 1.309 31-Jan-17 1-Feb-17 2-Feb-17 3-Feb-17 6-Feb-17 7-Feb-17 8-Feb-17 9-Feb-17 10-Feb-17 13-Feb-17 14-Feb-17 15-Feb-17 16-Feb-17 17-Feb-17 20-Feb-17 21-Feb-17 22-Feb-17 23-Feb-17 24-Feb-17 27-Feb-17 28-Feb-17 1-Mar-17 0.9402 0.9434 0.9454 0.9432 1.3016 1.3093 1.3052 1.2973 1.2999 1.3041 1.3 1.3026 1.2983 1.2966 1.3038 1.3031 1.3059 1.3072 1.3077 1.3077 1.3072 1.3106 1.3105 1.3139 1.3164 1.3105 1.3104 1.3176 1.33 1.3325 0.8018 0.7994 0.7976 0.8003 0.8012 0.7983 0.8018 0.8025 0.8006 0.8056 0.8022 0.8016 0.8038 0.7965 0.8021 0.8035 0.8077 0.8134 0.8155 113.25 113.33 113.73 114.23 114.17 113.25 112.86 113.08 113.72 -0.006555877 0.001151013 -0.001609565 -0.000153539 0.004760442 0.007336084 -0.002806858 0.000152149 -0.00433559 -0.001375095 0.000382497 0 -0.000382351 0.002600979 -7.63009E-05 0.00259443 0.001902732 -0.00448192 -7.63068E-05 0.005494505 0.00941105 0.001879699 0.004953096 0001101021 -0.000379248 -0.009181273 -0.001914535 0.001611294 0.004213268 -0.00198337 0.003363143 -0.008455854 0.005915796 -0.003131444 -0.006052712 0.002004162 0.003231018 -0.003143931 0.002 -0.00330109 -0.001309405 0.005552985 -0.000536892 0.002148722 -0.002603568 0012000301 0.9371 0.9422 0.9418 0.949 0.9471 0.9451 0.9466 -0.007740325 -0.005661802 0.009996204 0.002756201 0.001749125 -0.002993265 -0.002251689 0.003385155 0.001124578 -0.003619571 0.004384317 0.000873036 -0.002367601 0.006245316 -0.004220457 -0.000747943 0.002744511 -0.009081861 0.00703076 0.001745418 0.005227131 -0.002135611 0.004387373 0.001704667 0.003403531 0.002119992 -0.002327057 -0.006467345 0.005442322 -0.000424538 0.007644935 -0.002002107 -0.002111709 0.001587134 -0.002112825 0.000846919 -0.008263736 0.003900363 -0.00415011 -0.003192055 -0.005959794 0.005458613 -0.003470986 0.011431633 0.000706402 0.003529516 0.004396377 -0.000525256 -0.008058159 -0.003443709 0.001949318 0.00565971 -0.003605346 -0.006177742 -0.004440103 0.005441085 0.000532292 113.31 112.61 112.11 112.72 112.78 0.9446 0.9454 0.9482 113.75 0.007057076 0.008600816 1.3025 1.3391 0.9519 2-Mar-17 2 Mar 17 Sheet1 0.002581756 0.002961709 0.00390213 10000100 114.42 1140 0.00589011 0.002100000 017 | : Sheet2 1 2270 Sheet3 00421 + 108.77 -0.004062377 1.3171 1.3256 5-Dec-19 6-Dec-19 9-Dec-19 10-Dec-19 11-Dec-19 0.9007 0.9046 0.9039 0.9015 -0.00082675 -0.000827434 -0.000342325 0.002191631 -0.000956742 108.68 108.56 -0.00210503 0.004329966 -0.000773823 1.3237 1.3231 1.3176 0.76 0.7611 0.7604 0.7601 0.7574 0.7595 0.7498 108.72 1.4601 1.4633 1.4619 1.4653 1.4689 1.4545 1.4476 1.4509 0.00232574 -0.002655161 0.001447368 -0.000919721 -0.000394529 -0.003552164 0.002772643 108.57 -0.003327787 0.002456835 -0.009803254 1.3187 0.8985 0.8985 0.8991 12-Dec-19 13-Dec-19 16-Dec-19 0 -0.001104159 0.001473839 -0.001379691 0.006815879 0.000731864 0.001279824 -0.000273898 109.31 109.39 109.53 109.5 1.317 1.3154 0.8974 0.7502 1.316 0.8968 0.7618 17-Dec-19 18-Dec-19 1.4526 1.4596 0.7646 109.55 1.3112 1.3126 -0.004743898 0.002279635 0.001171687) 0.004818945 -6.85119E-05 -0.005275779 -0.00082656 0.000456621 -0.002272555 0.006453572 -0.001433313 -0.000453275 -0.004156904 0.000834851 -0.001289148 -0.001214882 0.000456135 -0.003647416 0.001067724 0.001676063 -0.000380286 0.001749981 -7.59532E-05 -0.003038359 -0.003657143 -0.000535291 -0.000765111 0.8999 0.8992 0.9025 0.7687 1.4595 1.4518 109.36 1.3148 0.7696 109.41 1.3143 -0.0017343681 0.000457206 -0.000182799 0 0.9018 1.4506 1.4448 0.7731 0.7723 0.00066778 -0.00189078 -0.000668598 0.003456735 -0.000777864 0.003669929 -0.000775623 0 -0.000110889 -0.000554508 -0.006990679 -0.002011398 -0.001007726 -0.01277156 0.000533476 0.015462543 0.003675505 0.005362281 0.001170808 0.004547817 -0.001034795 -0.001035867 -0.002333117 -0.005586592 -0.003919519 -0.000918153 19-Dec-19 20-Dec-19 23-Dec-19 24-Dec-19 25-Dec-19 26-Dec-19 27-Dec-19 30-Dec-19 31-Dec-19 0.9018 -0.003998346 109.39 109.39 109.34 109.61 1.3166 1.3165 1.4451 1.4441 0.9017 0.9012 0.7715 0.7697 1.3125 1.4399 1.3077 0.8949 109.47 0.7654 0.7624 0.000207641 -0.000691994 -0.0029083861 -0.004653101 -0.002581636 -0.00045708 0.002469362 -0.001277256 -0.005298255 -0.000367343 0.8931 1.4332 1.4295 1.307 1.306 108.89 108.85 0.8922 0.7617 Volatility 0.004869213 0.004000979 0.004138522 0.005137018 0.004311052 Quaterly volatility 0.038648182 0.031756789 0.032848501 0.040773819 0.034217916
