A consumption-based approach to exchange rate predictability

Thumbnail Image
Download
Borradores de Economía; No. 857

Date published

2014-12-12

Date

2014-12-12

Authors

Ojeda-Joya, Jair N.

Part of book title

ISSN

ISBN

Document language

spa
Metrics
downloads: 0
abstract_views: 0

Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.

The opinions contained in this document are the sole responsibility of the author and do not commit Banco de la República or its Board of Directors.

Abstract

This paper provides evidence of short-run predictability for the real exchange rate by performing out-of-sample tests of a forecasting equation which is derived from a consumption-based asset pricing model. In this model, the real exchange rate is predict

Description

JEL Codes

F47 - Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation: Models and Application
C5 - Econometric Modeling
F31 - Foreign Exchange
G15 - International Financial Markets

Temática

Keywords

Keywords

Exchange Rates , Out-of-sample , Predictability , Asset Pricing , Habits

Citation

URI

https://repositorio.banrep.gov.co/handle/20.500.12134/6145
 https://hdl.handle.net/20.500.12134/6145
 https://ideas.repec.org/p/bdr/borrec/857.html
 https://doi.org/10.32468/be.857

Collections

Borradores de Economía

Seleccionar año de consulta:
Full item page

Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.

Este documento ha sido depositado por parte de el(los) autor(es) bajo la siguiente constancia de depósito