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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 Insper Working Paper, Insper Instituto de Ensino e Pesquisa in its series Insper Working Papers with number wpe_119.

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Date of creation: Oct 2008
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Handle: RePEc:ibm:ibmecp:wpe_119
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Find related papers by JEL classification:
  • F31 - International Economics - - International Finance - - - Foreign Exchange
  • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
  • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
  • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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  1. 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.
  2. Claudio Paiva, 2006. "External Adjustment and Equilibrium Exchange Rate in Brazil," IMF Working Papers 06/221, International Monetary Fund.
  3. Charles Engel & Kenneth D. West, 2004. "Taylor Rules and the Deutschmark-Dollar Real Exchange Rate," NBER Working Papers 10995, National Bureau of Economic Research, Inc.
  4. 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.
  5. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  6. Garry J. Schinasi & P.A.V.B. Swamy, 1987. "The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change," International Finance Discussion Papers 301, Board of Governors of the Federal Reserve System (U.S.).
  7. 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.
  8. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, March.
  9. 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.
  10. Viktoria Hnatkovska & Amartya Lahiri & Carlos A. Vegh, 2008. "Interest Rates and the Exchange Rate: A Non-Monotonic Tale," NBER Working Papers 13925, National Bureau of Economic Research, Inc.
  11. Yu-chin Chen & Kenneth Rogoff & Barbara Rossi, 2008. "Can Exchange Rates Forecast Commodity Prices?," Working Papers UWEC-2008-11-FC, University of Washington, Department of Economics, revised Oct 2009.
  12. Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  13. 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.
  14. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, March.
  15. Kunst, Robert M., 2003. "Testing for Relative Predictive Accuracy: A Critical Viewpoint," Economics Series 130, Institute for Advanced Studies.
  16. Jeremy Berkowitz & Lorenzo Giorgianni, 2001. "Long-Horizon Exchange Rate Predictability?," The Review of Economics and Statistics, MIT Press, vol. 83(1), pages 81-91, February.
  17. Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Center for International Economics, Working Paper Series qt5fc508pt, Center for International Economics, UC Santa Cruz.
  18. James G. MacKinnon, 1995. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Working Papers 918, Queen's University, Department of Economics.
  19. 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.
  20. 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.
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Cited by:

  1. Galimberti, Jaqueson K. & Moura, Marcelo L., 2010. "Taylor Rules and Exchange Rate Predictability in Emerging Economies," Insper Working Papers wpe_214, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.

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