Since 2014
Common Factors and the Exchange Rate: Results From the Brazilian Case
Revista Brasileira de Economia
View Archive Info| Field | Value | |
| Title |
Common Factors and the Exchange Rate: Results From the Brazilian Case
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| Creator |
Rossi Junior, Jose Luiz; Insper Insituto de Ensino e Pesquisa
Felicio, Wilson Rafael de Oliveira; Insper Insituto de Ensino e Pesquisa |
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| Subject |
Exchange rates; Factor models; Out-of-sample forecasting
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| Description |
This paper studies the usefulness of factor models in explaining the dynamics of the exchange rate Real / Dollar from January 1999 to August 2011. The paper verifies that the inclusion of factors embedded on the common movements of exchange rates of a set of countries significantly improves the in-sample and out-of-sample predictive power of the models comprising only macroeconomic fundamentals commonly used in the literature to forecast the exchange rate. The paper also links the information contained in the factors to global shocks as the demand for “dollars” – a dollar effect, volatility, and liquidity of global financial markets.
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| Publisher |
Escola de Pós-Graduação em Economia da FGV
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| Contributor |
—
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| Date |
2014-03-11
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Articles Artigos |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/7381
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| Source |
Revista Brasileira de Economia; v. 68, n. 1 (2014): Jan-Mar; 49-71
Revista Brasileira de Economia; v. 68, n. 1 (2014): Jan-Mar; 49-71 0034-7140 0034-7140 |
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| Language |
por
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/rbe/article/view/7381/16650
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