Forecasting foreign exchange rates in Colombia assuming PPP conditions: Empirical evidence using VAR

This document examines exchange rate forecasts during the 1995-2005 period, using a Purchasing Power of Parity Exchange Rate Model (PPPER). Our first finding is that the computed forecasts seem to validate the use of this model under certain conditions given that it performs well in predicting the b...

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Fecha de publicación:
2009
Institución:
Universidad del Rosario
Repositorio:
Repositorio EdocUR - U. Rosario
Idioma:
eng
OAI Identifier:
oai:repository.urosario.edu.co:10336/23992
Acceso en línea:
https://doi.org/10.1016/S0123-5923(09)70095-6
https://repository.urosario.edu.co/handle/10336/23992
Palabra clave:
Financial forecasting
Foreign exchange
Time-series model
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dc.title.spa.fl_str_mv Forecasting foreign exchange rates in Colombia assuming PPP conditions: Empirical evidence using VAR
dc.title.TranslatedTitle.por.fl_str_mv Previsão da taxa de câmbio na Colômbia sob condições de PPC: evidência empírica usando VAR
dc.title.TranslatedTitle.spa.fl_str_mv PROYECCIÓN DE LA TASA DE CAMBIO DE COLOMBIA BAJO CONDICIONES DE PPA: EVIDENCIA EMPÍRICA USANDO VAR
title Forecasting foreign exchange rates in Colombia assuming PPP conditions: Empirical evidence using VAR
spellingShingle Forecasting foreign exchange rates in Colombia assuming PPP conditions: Empirical evidence using VAR
Financial forecasting
Foreign exchange
Time-series model
title_short Forecasting foreign exchange rates in Colombia assuming PPP conditions: Empirical evidence using VAR
title_full Forecasting foreign exchange rates in Colombia assuming PPP conditions: Empirical evidence using VAR
title_fullStr Forecasting foreign exchange rates in Colombia assuming PPP conditions: Empirical evidence using VAR
title_full_unstemmed Forecasting foreign exchange rates in Colombia assuming PPP conditions: Empirical evidence using VAR
title_sort Forecasting foreign exchange rates in Colombia assuming PPP conditions: Empirical evidence using VAR
dc.subject.keyword.spa.fl_str_mv Financial forecasting
Foreign exchange
Time-series model
topic Financial forecasting
Foreign exchange
Time-series model
description This document examines exchange rate forecasts during the 1995-2005 period, using a Purchasing Power of Parity Exchange Rate Model (PPPER). Our first finding is that the computed forecasts seem to validate the use of this model under certain conditions given that it performs well in predicting the behavior of the nominal exchange rate. Our second finding included a comparative analysis of out-of-sample forecasts (saving historical data) between the PPP-based forecast models and the Vector Autoregressive (VAR) model. The VAR has a better forecasting performance based on the RMSE, MAE, and U-Theil indicators. MAPE results measured on the first and second month-ahead forecasts indicate that the VAR model performs more poorly than the PPP-based models. © 2018 Tehran University of Medical Sciences. All rights reserved.
publishDate 2009
dc.date.created.spa.fl_str_mv 2009
dc.date.accessioned.none.fl_str_mv 2020-05-26T00:07:21Z
dc.date.available.none.fl_str_mv 2020-05-26T00:07:21Z
dc.type.eng.fl_str_mv article
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dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1016/S0123-5923(09)70095-6
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/23992
url https://doi.org/10.1016/S0123-5923(09)70095-6
https://repository.urosario.edu.co/handle/10336/23992
dc.language.iso.spa.fl_str_mv eng
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dc.relation.citationEndPage.none.fl_str_mv 226
dc.relation.citationIssue.none.fl_str_mv No. 113
dc.relation.citationStartPage.none.fl_str_mv 211
dc.relation.citationTitle.none.fl_str_mv Estudios Gerenciales
dc.relation.citationVolume.none.fl_str_mv Vol. 25
dc.relation.ispartof.spa.fl_str_mv Estudios Gerenciales, Vol.25, No.113 (2009); pp. 211-226
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