The Usefulness of Financial Variables in Predicting Exchange Rate Movements
dc.contributor.author | Rossi Junior, Jose Luiz | |
dc.coverage.cidade | São Paulo | pt_BR |
dc.coverage.pais | Brasil | pt_BR |
dc.creator | Rossi Junior, Jose Luiz | |
dc.date.accessioned | 2023-07-25T21:12:09Z | |
dc.date.available | 2023-07-25T21:12:09Z | |
dc.date.issued | 2013 | |
dc.description.abstract | This paper studies the predictive power of several financial variables usually used as proxies for global liquidity, volatility, and risk aversion in forecasting exchange rates for a set of countries from January 2001 to April 2013. The results indicate that changes in the long-term interest rate, in the VIX, in the high yield spread, and in the market liquidity indicators have strong in-sample and out-of-sample predictive power with respect to exchange rates. The results indicate that the relationship between the financial variables and the exchange rate is relatively stable. The paper shows that the predictability of the models is persistent over time and does not depend on the choice of the window size adopted in the forecasting exercises. | |
dc.description.other | This paper studies the predictive power of several financial variables usually used as proxies for global liquidity, volatility, and risk aversion in forecasting exchange rates for a set of countries from January 2001 to April 2013. The results indicate that changes in the long-term interest rate, in the VIX, in the high yield spread, and in the market liquidity indicators have strong in-sample and outof-sample predictive power with respect to exchange rates. The results indicate that the relationship between the financial variables and the exchange rate is relatively stable. The paper shows that the predictability of the models is persistent over time and does not depend on the choice of the window size adopted in the forecasting exercises. | pt_BR |
dc.format.medium | Digital | pt_BR |
dc.identifier.issue | BEWP 198/2014 | |
dc.identifier.uri | https://repositorio.insper.edu.br/handle/11224/5971 | |
dc.language.iso | Inglês | pt_BR |
dc.publisher | Insper | 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 | Liquidity | pt_BR |
dc.subject.keywords | Volatility | pt_BR |
dc.subject.keywords | Forecasting | pt_BR |
dc.title | The Usefulness of Financial Variables in Predicting Exchange Rate Movements | 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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