 Exchange rate predictability with nine alternative models for BRICS countriesAfees Salisu, Rangan Gupta and Won Joong Kim Journal of Macroeconomics, 2022, vol. 71, issue C Abstract: This paper seeks to add to the literature on short-run exchange rate predictability by focusing on BRICS exchange rates. We utilize both time-varying and constant parameter models, and account for a variety of macro fundamentals, including those suggested by Taylor rules. For the sample of countries, a Taylor rule model with homogeneous coefficients without interest rate smoothing as well as PPP- and UIRP-based models offers a better exchange rate predictability than the random walk model. For this sample of countries, constant parameter models appear to predict exchange rates better than time varying approaches for monthly data but not quarterly. We provide a range of sensitivity analysis, which on some occasions influence the paper's conclusions. We rationalize these results as being partly due to relatively stable relationship among variables (fixed over time-varying) and sample size (monthly over quarterly). Keywords: Exchange Rate Predictability; BRICS; time-varying parameter (TVP) model; Taylor rule; random walk (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:71:y:2022:i:c:s0164070421000732 DOI: 10.1016/j.jmacro.2021.103374 Access Statistics for this article Journal of Macroeconomics is currently edited by Douglas McMillin and Theodore Palivos More articles in Journal of Macroeconomics from Elsevier |
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