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 EDITORGalimberti, Jaqueson K.Moura, Marcelo L.2023-07-172023-07-172010https://repositorio.insper.edu.br/handle/11224/5819This study links exchange rate determination and endogenous monetary policy represented by Taylor rules. We fill a gap in the literature by focusing on a group of fifteen emerging economies that adopted free-floating exchange rate and inflation targeting beginning in the mid-1990s. Due to the limited time-series span, a common obstacle to studying emerging economies, we employ panel data regressions to produce more efficient estimates. Following the recent literature, we use a robust set of out-of-sample statistics using bootstrapped and asymptotic distributions for the Diebold-Mariano, Clark and West and Theil’s U ratio. By evaluating different specifications for the Taylor rule exchange rate model based on their out-of-sample performance, we find that the forward-looking specification shows strong evidence of exchange rate predictability.27 p.DigitalInglêsworking paperTaylor rule exchange rate modelforecastingemerging economiespanel databootstrapBEWP 103/2010