Jornal de Negócios e Assuntos Financeiros

ARIMA Model in the Analysis of Behaviour of NEER and REER of Euro

Abstract

Debesh Bhowmik

In this paper author examined the behaviour of NEER and REER of euro in Euro Area during the period of 1994m01-2023m03 using the monthly data where Hamilton decomposition and ARIMA models were applied including the trends of nonlinearity. Moreover, the forecast ARIMA model was used to analyse the converging process during the course of volatility of the exchange rate. Whether the forecast ARIMA model is suitable for convergence towards equilibrium with or without pass through the Hamilton regression filter model have been verified.