The Usefulness of Financial Variables in Predicting Exchange Rate Movements

dc.contributor.authorRossi Junior, Jose Luiz
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorRossi Junior, Jose Luiz
dc.date.accessioned2023-07-25T21:12:09Z
dc.date.available2023-07-25T21:12:09Z
dc.date.issued2013
dc.description.abstractThis 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.otherThis 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.mediumDigitalpt_BR
dc.identifier.issueBEWP 198/2014
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5971
dc.language.isoInglêspt_BR
dc.publisherInsperpt_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.keywordsLiquiditypt_BR
dc.subject.keywordsVolatilitypt_BR
dc.subject.keywordsForecastingpt_BR
dc.titleThe Usefulness of Financial Variables in Predicting Exchange Rate Movementspt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR

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