Assessing the Forecasting Performance of Structural Models for the Nominal Exchange Rate : The Colombian Case *

This paper analyses the out-of-sample forecasting performance of three models for the USD/COP nominal exchange rate during the period 1984:I – 2004:I. The sticky price monetary (Dornbusch (1976) – Frankel (1979)) and the Balassa–Samuelson (which gives a central role to the productivity differentials) approaches are used. Additionally, the Purchasing Power Par ity condition (PPP) is analyzed. The forecasting ability of these models is comp ared using a random walk as a benchmark model. The metrics employed in evalua ting the forecasting performance are RMS, MAE, MAPE and U-Theil. It is found that despite the great ability to predict, no model outperforms the random walk. This conclusion strengthens the previous results in the nominal exchange rate modeling literature.

• Autores: Alonso Cifuentes, Julio Cesar; Ignacio Patiño, Carlos
• Tipo de recurso: http://purl.org/coar/resource_type/c_c94f
• Fecha de publicación: 2005
• Institución: Universidad ICESI
• Repositorio: Repositorio ICESI
• Idioma: eng
• OAI Identifier: oai:repository.icesi.edu.co:10906/83462
• Acceso en línea: https://www.researchgate.net/profile/Julio_Alonso3/publication/228431513_Assessing_the_Forecasting_Performance_of_Structural_Models_for_the_Nominal_Exchange_Rate_The_Colombian_Case/links/575abda808aed884620d8f00.pdf; http://repository.icesi.edu.co/biblioteca_digital/handle/10906/83462
• Palabra clave: Economía; Tipo de cambio; Modelos econométricos; Pronósticos económicos; Economics
• Rights: openAccess
• License: https://creativecommons.org/licenses/by-nc-nd/4.0/