Testing the Taylor Model Predictability for Exchange Rates in Latin Americ

dc.contributor.authorMoura, Marcelo L.
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorMoura, Marcelo L.
dc.date.accessioned2023-07-15T02:48:14Z
dc.date.available2023-07-15T02:48:14Z
dc.date.issued2008
dc.description.otherExchange 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.mediumDigitalpt_BR
dc.identifier.issueWPE 126/2008
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5789
dc.language.isoInglêspt_BR
dc.publisherInsperpt_BR
dc.publisherIBMEC - São Paulopt_BR
dc.relation.ispartofseriesInsper Working Paperpt_BR
dc.rights.licenseO 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 EDITORpt_BR
dc.subject.keywordsExchange Ratespt_BR
dc.subject.keywordsTaylor Rule modelpt_BR
dc.subject.keywordsMonetary modelpt_BR
dc.subject.keywordsInterest Rate Paritypt_BR
dc.subject.keywordsPurchasing Power Paritypt_BR
dc.subject.keywordsUnit Rootpt_BR
dc.subject.keywordsCointegrationpt_BR
dc.subject.keywordsForecasting performancept_BR
dc.titleTesting the Taylor Model Predictability for Exchange Rates in Latin Americpt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR
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