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Exchange Rates Predictability in Developing Countries


  • Sarmidi, Tamat


The main objective of this study is to re-investigates the exchange rates predictability puzzle using monetary model. It is hypothesised that the performance of exchange rate predictability is better off in countries with monetary instability. We employ bootstrap technique as proposed by Kilian (1999) to alleviate statistical inference intricacies inherit in the long horizon forecasting for three different monetary models (flexible price, sticky price and relative price) for selected developing economies. The empirical result shows the superiority of sticky price model along with the evidence of exchange rate predictability for high inflation economies.

Suggested Citation

  • Sarmidi, Tamat, 2008. "Exchange Rates Predictability in Developing Countries," MPRA Paper 16580, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:16580

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    References listed on IDEAS

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    Cited by:

    1. Daniel Andrés Jaimes Cárdenas & Jair Ojeda Joya, 2010. "Reglas de Taylor y previsibilidad fuera de muestra de la tasa de cambio en Latinoamérica," Borradores de Economia 619, Banco de la Republica de Colombia.

    More about this item


    Foreign exchange; international finance; forecasting;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • F31 - International Economics - - International Finance - - - Foreign Exchange


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