Testing the Taylor Model Predictability for Exchange Rates in Latin Americ
dc.contributor.author | Moura, Marcelo L. | |
dc.coverage.cidade | São Paulo | pt_BR |
dc.coverage.pais | Brasil | pt_BR |
dc.creator | Moura, Marcelo L. | |
dc.date.accessioned | 2023-07-15T02:48:14Z | |
dc.date.available | 2023-07-15T02:48:14Z | |
dc.date.issued | 2008 | |
dc.description.other | Exchange rates forecasting performance is tested by a model which incorporates endogenous monetary policy through a Taylor rule reaction function. Other usual monetary and equilibrium empirical exchange rate models are also evaluated for comparison purposes. Predictability is tested by comparing the models to a benchmark random-walk specification. We contribute to the recent literature in many ways. First, we include models of forward looking endogenous monetary policy to the exchange rate forecasting exercise, the Taylor Model. Second, our data, set across countries, is uniform in terms of economies adopting both inflation targeting and flexible exchange rate. Third, our study sheds light on exchange rate determinants for emerging economies: Brazil, Chile, Colombia, Peru and Mexico. Despite the increasing economic importance of this group of countries, studies about them are in relatively short supply. Our results show strong predictability evidence for the Taylor Model and indicate that assuming models of endogenous monetary policy and present value of expected fundamentals is a rewarding strategy to model exchange rate determination. | pt_BR |
dc.format.medium | Digital | pt_BR |
dc.identifier.issue | BEWP 032/2008 | |
dc.identifier.uri | https://repositorio.insper.edu.br/handle/11224/5789 | |
dc.language.iso | Inglês | pt_BR |
dc.publisher | Insper | pt_BR |
dc.publisher | IBMEC - São Paulo | pt_BR |
dc.relation.ispartofseries | Insper Working Paper | pt_BR |
dc.rights.license | O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR | pt_BR |
dc.subject.keywords | Exchange Rates | pt_BR |
dc.subject.keywords | Taylor Rule model | pt_BR |
dc.subject.keywords | Monetary model | pt_BR |
dc.subject.keywords | Interest Rate Parity | pt_BR |
dc.subject.keywords | Purchasing Power Parity | pt_BR |
dc.subject.keywords | Unit Root | pt_BR |
dc.subject.keywords | Cointegration | pt_BR |
dc.subject.keywords | Forecasting performance | pt_BR |
dc.title | Testing the Taylor Model Predictability for Exchange Rates in Latin Americ | pt_BR |
dc.type | working paper | |
dspace.entity.type | Publication | |
local.subject.cnpq | Ciências Sociais Aplicadas | pt_BR |
local.type | Working Paper | pt_BR |
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