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

Jaqueline Marins

No 588, Working Papers Series from Central Bank of Brazil, Research Department

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

Date: 2024-01
New Economics Papers: this item is included in nep-mon and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/WP588v2.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:588

Access Statistics for this paper

More papers in Working Papers Series from Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().