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Nominal Exchange Rate in Chile: Predictions based on technical analysis

Ana María Abarca G., Felipe Alarcón G., Pablo Pincheira () and Jorge Selaive ()

Journal Economía Chilena (The Chilean Economy), 2007, vol. 10, issue 2, 57-80

Abstract: This work presents a review of the main indicators used in the technical analysis of the peso-dollar parity. We explain the usual interpretations of these indicators and we also explore the ability that the Relative Strength Index (RSI) may have to predict exchange rate returns at daily frequency. The predictive exercises are carried out using both in-sample and out-of-sample analyses. Our results show a robust ability of the RSI to predict nominal exchange rate returns for horizons under seven weeks.

Date: 2007
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Journal Economía Chilena (The Chilean Economy) is currently edited by Álvaro Aguirre, Sofía Bauducco and Andrés Fernández

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Handle: RePEc:chb:bcchec:v:10:y:2007:i:2:p:57-80