Exchange Rate and Fundamentals: The Case of Brazil
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Autores
Moura, Marcelo L.
Lima, Adauto Ricardo Sobreira De
Mendonça, Rodrigo Maldonado
Orientador
Co-orientadores
Citações na Scopus
Tipo de documento
Working Paper
Data
2008
Resumo
Forecasting performance is tested for a broad set of empirical exchange rate models for an emerging economy with independently floating regime and inflation target monetary arrangement. Compared to the recent literature on out-of-sample exchange rate predictability, we include a more extensive set of models. We test vintage monetary models of the 80’s, exchange rate equilibrium models of the 90’s and a Taylor Rule based model. This last model assumes an endogenous monetary policy, where the Central Bank follows a Taylor rule reaction function to set interest rates. Our results show that Taylor Rule models and
Behavioral Equilibrium models, the last one combining productivity differentials with portfolio balance effect, have superior predictive accuracy when compared to the random walk benchmark. Some out-of-sample predictability is also obtained with parsimonious models based on uncovered interest parity arguments. Those stimulating results should lead to more studies of exchange rate forecasting accuracy for other emerging economies.
Palavras-chave
Modelos de Regra de Taylor; Modelos Monetários; Previsibilidade fora da amostra; Cointegração; Modelos de Correção de Erros
Titulo de periódico
URL da fonte
Título de Livro
URL na Scopus
Idioma
Inglês
Notas
Membros da banca
Área do Conhecimento CNPQ
Ciências Sociais Aplicadas