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...

Full description

Autores:
Fayad Hernández, Catherine
Fortich Mesa, Roberto Carlos
Vélez-Pareja, Ignacio
Tipo de recurso:
Fecha de publicación:
2009
Institución:
Universidad Tecnológica de Bolívar
Repositorio:
Repositorio Institucional UTB
Idioma:
spa
OAI Identifier:
oai:repositorio.utb.edu.co:20.500.12585/12235
Acceso en línea:
https://hdl.handle.net/20.500.12585/12235
Palabra clave:
Misalignment;
Real Exchange Rate;
Balassa-Samuelson Effect
LEMB
Rights
openAccess
License
http://creativecommons.org/licenses/by-nc-nd/4.0/
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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.alternative.spa.fl_str_mv Previsão da taxa de câmbio na Colômbia sob condições de PPC: evidência empírica usando VAR
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
Misalignment;
Real Exchange Rate;
Balassa-Samuelson Effect
LEMB
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.creator.fl_str_mv Fayad Hernández, Catherine
Fortich Mesa, Roberto Carlos
Vélez-Pareja, Ignacio
dc.contributor.author.none.fl_str_mv Fayad Hernández, Catherine
Fortich Mesa, Roberto Carlos
Vélez-Pareja, Ignacio
dc.subject.keywords.spa.fl_str_mv Misalignment;
Real Exchange Rate;
Balassa-Samuelson Effect
topic Misalignment;
Real Exchange Rate;
Balassa-Samuelson Effect
LEMB
dc.subject.armarc.none.fl_str_mv LEMB
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.issued.none.fl_str_mv 2009
dc.date.accessioned.none.fl_str_mv 2023-07-19T21:25:05Z
dc.date.available.none.fl_str_mv 2023-07-19T21:25:05Z
dc.date.submitted.none.fl_str_mv 2023
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_b1a7d7d4d402bcce
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dc.type.driver.spa.fl_str_mv info:eu-repo/semantics/article
dc.type.hasversion.spa.fl_str_mv info:eu-repo/semantics/draft
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status_str draft
dc.identifier.citation.spa.fl_str_mv Fayad, C., Fortich, R., & Velez-Pareja, I. (2009). Forecasting Foreign Exchange Rate in Colombia Assuming PPP Conditions: Empirical Evidence Using VAR (in Spanish). Estudios Gerenciales. Journal of Management and Economics of Iberoamerica, 25(113), 211-226.
dc.identifier.uri.none.fl_str_mv https://hdl.handle.net/20.500.12585/12235
dc.identifier.doi.none.fl_str_mv 10.1016/S0123-5923(09)70095-6
dc.identifier.instname.spa.fl_str_mv Universidad Tecnológica de Bolívar
dc.identifier.reponame.spa.fl_str_mv Repositorio Universidad Tecnológica de Bolívar
identifier_str_mv Fayad, C., Fortich, R., & Velez-Pareja, I. (2009). Forecasting Foreign Exchange Rate in Colombia Assuming PPP Conditions: Empirical Evidence Using VAR (in Spanish). Estudios Gerenciales. Journal of Management and Economics of Iberoamerica, 25(113), 211-226.
10.1016/S0123-5923(09)70095-6
Universidad Tecnológica de Bolívar
Repositorio Universidad Tecnológica de Bolívar
url https://hdl.handle.net/20.500.12585/12235
dc.language.iso.spa.fl_str_mv spa
language spa
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.uri.*.fl_str_mv http://creativecommons.org/licenses/by-nc-nd/4.0/
dc.rights.accessrights.spa.fl_str_mv info:eu-repo/semantics/openAccess
dc.rights.cc.*.fl_str_mv Attribution-NonCommercial-NoDerivatives 4.0 Internacional
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc-nd/4.0/
Attribution-NonCommercial-NoDerivatives 4.0 Internacional
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.extent.none.fl_str_mv 16 páginas
dc.format.mimetype.spa.fl_str_mv application/pdf
dc.publisher.place.spa.fl_str_mv Cartagena de Indias
dc.source.spa.fl_str_mv Estudios Gerenciales
institution Universidad Tecnológica de Bolívar
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spelling Fayad Hernández, Catherined5310135-9563-402e-937a-2ade4f992bdfFortich Mesa, Roberto Carlos4be0c43d-7e88-4cc0-aa59-389a2417935dVélez-Pareja, Ignacio7820b0cc-5263-4237-96bd-57076aa0af702023-07-19T21:25:05Z2023-07-19T21:25:05Z20092023Fayad, C., Fortich, R., & Velez-Pareja, I. (2009). Forecasting Foreign Exchange Rate in Colombia Assuming PPP Conditions: Empirical Evidence Using VAR (in Spanish). Estudios Gerenciales. Journal of Management and Economics of Iberoamerica, 25(113), 211-226.https://hdl.handle.net/20.500.12585/1223510.1016/S0123-5923(09)70095-6Universidad Tecnológica de BolívarRepositorio Universidad Tecnológica de BolívarThis 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.16 páginasapplication/pdfspahttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessAttribution-NonCommercial-NoDerivatives 4.0 Internacionalhttp://purl.org/coar/access_right/c_abf2Estudios GerencialesForecasting 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 VAR]info:eu-repo/semantics/articleinfo:eu-repo/semantics/drafthttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/version/c_b1a7d7d4d402bccehttp://purl.org/coar/resource_type/c_2df8fbb1Misalignment;Real Exchange Rate;Balassa-Samuelson EffectLEMBCartagena de IndiasDe Gooijer, J.G., Hyndman, R.J. 25 years of time series forecasting (2006) International Journal of Forecasting, 22 (3), pp. 443-473. Cited 1051 times. doi: 10.1016/j.ijforecast.2006.01.001Enders, W. (2004) Applied Econometrics Time Series. Cited 3878 times. Hoboken, NJ: WileyHayashi, F. Econometrics (2011) Econometrics, pp. 1-683. Cited 1225 times. http://press.princeton.edu/titles/6946.html ISBN: 978-069101018-2Lütkepohl, H. (1991) Introduction to Multiple Time Series Analysis. Cited 2121 times. Berlín: Springer-VerlagPatiño, C., Alonso, J. (2005) Determinantes De La Tasa De Cambio Nominal En Colombia: Evaluación De Pronósticos. Cited 2 times. y Universidad ICESI (Mimeo). Disponible en http://www.icesi.edu.co/~jcalonso/Contact/tcn2005.pdfTaylor, A.M. A century of purchasing-power parity (Open Access) (2002) Review of Economics and Statistics, 84 (1), pp. 139-150. 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