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Predictability of Exchange Rate Density Forecasts for Emerging Economies in the Short Run

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  • Jaqueline Terra Moura Marins

Abstract

FX rate predictability is non-trivial, but is of great importance for economic agents and policy makers, as it is one of the main prices in an economy. Aware of the failure of standard economic theory to explain foreign exchange rate behavior using key economic variables since Meese and Rogoff (1983 a, b), in this paper, besides economic models, we also use financial data to forecast point and density estimates, as well as some value-at-risk measures. Making use of promising results found for Brazilian currency in Gaglianone and Marins (2017) with the Option-Implied model for the short-run forecasting, we verify if

Suggested Citation

  • Jaqueline Terra Moura Marins, 2024. "Predictability of Exchange Rate Density Forecasts for Emerging Economies in the Short Run," Working Papers Series 588, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:588
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    References listed on IDEAS

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