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...
- Autores:
- Tipo de recurso:
- 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
- Rights
- License
- Abierto (Texto Completo)
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9af40284-a1fd-485d-9ec0-c0d61c0950d7-1eefcd5e1-acb5-4540-a0b8-02c4b61ac11b-13e19c97e-d41b-4057-9778-811fb19d4423-12020-05-26T00:07:21Z2020-05-26T00:07:21Z2009This 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.application/pdfhttps://doi.org/10.1016/S0123-5923(09)70095-6https://repository.urosario.edu.co/handle/10336/23992engUniversidad Icesi226No. 113211Estudios GerencialesVol. 25Estudios Gerenciales, Vol.25, No.113 (2009); pp. 211-226https://www.scopus.com/inward/record.uri?eid=2-s2.0-85081588981&doi=10.1016%2fS0123-5923%2809%2970095-6&partnerID=40&md5=a206a3576749c67e7e01fc9fdb7bf6ffAbierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURFinancial forecastingForeign exchangeTime-series modelForecasting foreign exchange rates in Colombia assuming PPP conditions: Empirical evidence using VARPrevisão da taxa de câmbio na Colômbia sob condições de PPC: evidência empírica usando VARPROYECCIÓN DE LA TASA DE CAMBIO DE COLOMBIA BAJO CONDICIONES DE PPA: EVIDENCIA EMPÍRICA USANDO VARarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Hernández, Catherine FayadMesa, Roberto Carlos FortichVélez-Pareja, IgnacioORIGINAL1-s2-0-S0123592309700956-main.pdfapplication/pdf493076https://repository.urosario.edu.co/bitstreams/c81da8e3-2369-4cc3-9b1e-d1495eca2b26/download7f21f0261c513d66a618166d3791db90MD51TEXT1-s2-0-S0123592309700956-main.pdf.txt1-s2-0-S0123592309700956-main.pdf.txtExtracted texttext/plain29060https://repository.urosario.edu.co/bitstreams/4a696407-d883-41ea-aade-9eb5d7e5ab7e/download3cf27c3bcff3dc60fc2b58f2421b1a73MD52THUMBNAIL1-s2-0-S0123592309700956-main.pdf.jpg1-s2-0-S0123592309700956-main.pdf.jpgGenerated Thumbnailimage/jpeg4210https://repository.urosario.edu.co/bitstreams/30c66e35-94e5-43af-ba3d-b5ea51656ae5/downloadfb007ed5bae1aa652a58330a85f4625eMD5310336/23992oai:repository.urosario.edu.co:10336/239922022-05-02 07:37:14.724663https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co |
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 |
dc.type.coarversion.fl_str_mv |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
dc.type.coar.fl_str_mv |
http://purl.org/coar/resource_type/c_6501 |
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 |
language |
eng |
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 |
dc.relation.uri.spa.fl_str_mv |
https://www.scopus.com/inward/record.uri?eid=2-s2.0-85081588981&doi=10.1016%2fS0123-5923%2809%2970095-6&partnerID=40&md5=a206a3576749c67e7e01fc9fdb7bf6ff |
dc.rights.coar.fl_str_mv |
http://purl.org/coar/access_right/c_abf2 |
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Abierto (Texto Completo) |
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Abierto (Texto Completo) http://purl.org/coar/access_right/c_abf2 |
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Universidad Icesi |
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Universidad del Rosario |
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reponame:Repositorio Institucional EdocUR |
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