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http://dx.doi.org/10.13088/jiis.2022.28.4.191

Prediction of KRW/USD exchange rate during the Covid-19 pandemic using SARIMA and ARDL models  

Oh, In-Jeong (Department of Industrial Engineering, Yonsei University)
Kim, Wooju (Department of Industrial Engineering, Yonsei University)
Publication Information
Journal of Intelligence and Information Systems / v.28, no.4, 2022 , pp. 191-209 More about this Journal
Abstract
This paper is a review of studies that focus on the prediction of a won/dollar exchange rate before and after the covid 19 pandemic. The Korea economy has an unprecedent situation starting from 2021 up till 2022 where the won/dollar exchange rate has exceeded 1,400 KRW, a first time since the global financial crisis in 2008. The US Federal Reserve has raised the interest rate up to 2.5% (2022.7) called a 'Big Step' and the Korea central bank has also raised the interested rate up to 2.5% (2022.8) accordingly. In the unpredictable economic situation, the prediction of the won/dollar exchange rate has become more important than ever. The authors separated the period from 2015.Jan to 2022.Aug into three periods and built a best fitted ARIMA/ARDL prediction model using the period 1. Finally using the best the fitted prediction model, we predicted the won/dollar exchange rate for each period. The conclusions of the study were that during Period 3, when the usual relationship between exchange rates and economic factors appears, the ARDL model reflecting the variable relationship is a better predictive model, and in Period 2 of the transitional period, which deviates from the typical pattern of exchange rate and economic factors, the SARIMA model, which reflects only historical exchange rate trends, was validated as a model with a better predictive performance.
Keywords
SARIMA; ARDL; Prediction; KRW/USD exchange rate; Covid-19;
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