A consumption-based approach to exchange rate predictability
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Borradores de Economía; No. 857
Date published
2014-12-12
Date
2014-12-12
Authors
Ojeda-Joya, Jair N.
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Document language
spa
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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
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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
C5 - Econometric Modeling
F31 - Foreign Exchange
G15 - International Financial Markets
Temática
Keywords
Hábitos, Fuera de muestra, Predictibilidad, Valoración de activos, Tasas de cambio
Keywords
Exchange Rates, Out-of-sample, Predictability, Asset Pricing, Habits
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Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial 4.0.
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