Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil

Marcos Abe, Eui Chang and Benjamin Tabak

No 138, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market. Empirical results suggest that the option market contains useful information about future exchange rate density. These results suggests that density forecasts using options markets may add value for portfolio and risk management, and may be useful for financial regulators to assess financial stability.

Date: 2007-05
New Economics Papers: this item is included in nep-cba, nep-for and nep-ifn
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Journal Article: Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil (2007)
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