FIN 480: Simple Fundamental Model of Return in the British Pound

Below is the implementation of a simple fundamental model to predict future returns in the British pound.  As explanatory variables I am using  each country's industrial production and inflation.

** This model is thrown together with very little care so don't use it for anything (particularly involving real money) - it is just to get us talking in class.  

library(quantmod)

getSymbols(c('GBRCPIALLMINMEI','INTGSTGBM193N','INTGSTUSM193N','CPIAUCSL','EXUSUK','GBRPROINDMISMEI','DSPIC96'), src='FRED')

cpi.uk cpi.us prod.uk prod.us d.p.uk d.p.us c.prod cpi.diff e
summary(lm(e[-1]~cpi.diff+c.prod[-1]))

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