Testing the Taylor Model Predictability for Exchange Rates in Latin America

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Testing the Taylor Model Predictability for Exchange Rates in Latin America

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Moura, Marcelo

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Paper provided by Ibmec Working Paper, Ibmec São Paulo in its series Ibmec Working Papers with number wpe_117.

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Date of creation: Oct 2008
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Handle: RePEc:ibm:ibmecp:wpe_117

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This paper has been announced in the following NEP Reports:

NEP-ALL-2008-05-31 (All new papers)
NEP-CBA-2008-05-31 (Central Banking)
NEP-IFN-2008-05-31 (International Finance)
NEP-LAM-2008-05-31 (Central & South America)

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Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February. [Downloadable!] (restricted)
Uz, Idil & Ketenci, Natalya, 2008. "Panel analysis of the monetary approach to exchange rates: Evidence from ten new EU members and Turkey," Emerging Markets Review, Elsevier, vol. 9(1), pages 57-69, March. [Downloadable!] (restricted)
Groen, Jan J J, 2005. "Exchange Rate Predictability and Monetary Fundamentals in a Small Multi-country Panel," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 495-516, June.
Charles Engel & Nelson C. Mark & Kenneth D. West, 2007. "Exchange Rate Models Are Not as Bad as You Think," NBER Working Papers 13318, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Charles Engel & Nelson Mark & Kenneth D. West, 2007. "Exchange Rate Models Are Not As Bad As You Think," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 381-441 National Bureau of Economic Research, Inc.
Kunst, Robert M., 2003. "Testing for Relative Predictive Accuracy: A Critical Viewpoint," Economics Series 130, Institute for Advanced Studies. [Downloadable!]
Yu-Chin Chen & Kenneth Rogoff & Barbara Rossi, 2008. "Can Exchange Rates Forecast Commodity Prices?," NBER Working Papers 13901, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Chen, Yu-chin & Rogoff, Kenneth & Rossi, Barbara, 2008. "Can Exchange Rates Forecast Commodity Prices?," Working Papers 08-03, Duke University, Department of Economics. [Downloadable!]
- Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2008. "Can Exchange Rates Forecast Commodity Prices?," Working Papers UWEC-2008-11, University of Washington, Department of Economics. [Downloadable!]
Clark, Todd E. & West, Kenneth D., 2007. "Approximately normal tests for equal predictive accuracy in nested models," Journal of Econometrics, Elsevier, vol. 138(1), pages 291-311, May. [Downloadable!] (restricted)
Other versions:
- Todd E. Clark & Kenneth D. West, 2005. "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper RWP 05-05, Federal Reserve Bank of Kansas City. [Downloadable!]
- Kenneth D. West & Todd Clark, 2006. "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models," NBER Technical Working Papers 0326, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Rapach, David E. & Wohar, Mark E., 2004. "Testing the monetary model of exchange rate determination: a closer look at panels," Journal of International Money and Finance, Elsevier, vol. 23(6), pages 867-895, October. [Downloadable!] (restricted)
Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]
Other versions:
- Charles Engel & Kenneth D. West, 2004. "Exchange Rates and Fundamentals," NBER Working Papers 10723, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Working Paper Series 248, European Central Bank. [Downloadable!]
- Charles Engel & Kenneth D. West, 2005. "Exchange Rates and Fundamentals," Journal of Political Economy, University of Chicago Press, vol. 113(3), pages 485-517, June.
Clark, Todd E. & West, Kenneth D., 2006. "Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 155-186. [Downloadable!] (restricted)
Other versions:
- Todd E. Clark & Kenneth D. West, 2004. "Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis," Research Working Paper RWP 04-03, Federal Reserve Bank of Kansas City. [Downloadable!]
Mark, Nelson C, 1995. "Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability," American Economic Review, American Economic Association, vol. 85(1), pages 201-18, March.
Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia, 2005. "Empirical exchange rate models of the nineties: Are any fit to survive?," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1150-1175, November. [Downloadable!] (restricted)
Other versions:
- Yin-Wong Cheung & Menzie Chinn & Antonio Garcia Pascual, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series 1033, Department of Economics, UC Santa Cruz. [Downloadable!]
- Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia Pascual, 2002. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," NBER Working Papers 9393, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Yin-Wong Cheung & Menzie David Chinn & Antonio Garcia Pascual, 2004. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," IMF Working Papers 04/73, International Monetary Fund. [Downloadable!]
- Yin-Wong Cheung & Menzie Chinn & Antonio Garcia Pascual, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Center for International Economics, Working Paper Series 1011, Center for International Economics, UC Santa Cruz. [Downloadable!]
Mark, Nelson C. & Sul, Donggyu, 2001. "Nominal exchange rates and monetary fundamentals: Evidence from a small post-Bretton woods panel," Journal of International Economics, Elsevier, vol. 53(1), pages 29-52, February. [Downloadable!] (restricted)
Other versions:
- Nelson Mark & Donggyu Sul, 1998. "Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel," Working Papers 98-19, Ohio State University, Department of Economics. [Downloadable!]

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