Common Factors and the Exchange Rate: Results From the Brazilian Case

Detalhes bibliográficos
Autor(a) principal: Rossi Junior, Jose Luiz
Data de Publicação: 2014
Outros Autores: Felicio, Wilson Rafael de Oliveira
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista Brasileira de Economia (Online)
Texto Completo: https://periodicos.fgv.br/rbe/article/view/7381
Resumo: 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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spelling Common Factors and the Exchange Rate: Results From the Brazilian CaseExchange ratesFactor modelsOut-of-sample forecastingThis 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.EGV EPGE2014-04-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlesArtigosapplication/pdfhttps://periodicos.fgv.br/rbe/article/view/7381Revista Brasileira de Economia; Vol. 68 No. 1 (2014): Jan-Mar; 49-71Revista Brasileira de Economia; v. 68 n. 1 (2014): Jan-Mar; 49-711806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVporhttps://periodicos.fgv.br/rbe/article/view/7381/16650Rossi Junior, Jose LuizFelicio, Wilson Rafael de Oliveirainfo:eu-repo/semantics/openAccess2016-12-16T12:23:48Zoai:ojs.periodicos.fgv.br:article/7381Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:03:33.100527Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true
dc.title.none.fl_str_mv Common Factors and the Exchange Rate: Results From the Brazilian Case
title Common Factors and the Exchange Rate: Results From the Brazilian Case
spellingShingle Common Factors and the Exchange Rate: Results From the Brazilian Case
Rossi Junior, Jose Luiz
Exchange rates
Factor models
Out-of-sample forecasting
title_short Common Factors and the Exchange Rate: Results From the Brazilian Case
title_full Common Factors and the Exchange Rate: Results From the Brazilian Case
title_fullStr Common Factors and the Exchange Rate: Results From the Brazilian Case
title_full_unstemmed Common Factors and the Exchange Rate: Results From the Brazilian Case
title_sort Common Factors and the Exchange Rate: Results From the Brazilian Case
author Rossi Junior, Jose Luiz
author_facet Rossi Junior, Jose Luiz
Felicio, Wilson Rafael de Oliveira
author_role author
author2 Felicio, Wilson Rafael de Oliveira
author2_role author
dc.contributor.author.fl_str_mv Rossi Junior, Jose Luiz
Felicio, Wilson Rafael de Oliveira
dc.subject.por.fl_str_mv Exchange rates
Factor models
Out-of-sample forecasting
topic Exchange rates
Factor models
Out-of-sample forecasting
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.
publishDate 2014
dc.date.none.fl_str_mv 2014-04-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Articles
Artigos
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://periodicos.fgv.br/rbe/article/view/7381
url https://periodicos.fgv.br/rbe/article/view/7381
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://periodicos.fgv.br/rbe/article/view/7381/16650
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv EGV EPGE
publisher.none.fl_str_mv EGV EPGE
dc.source.none.fl_str_mv Revista Brasileira de Economia; Vol. 68 No. 1 (2014): Jan-Mar; 49-71
Revista Brasileira de Economia; v. 68 n. 1 (2014): Jan-Mar; 49-71
1806-9134
0034-7140
reponame:Revista Brasileira de Economia (Online)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Revista Brasileira de Economia (Online)
collection Revista Brasileira de Economia (Online)
repository.name.fl_str_mv Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv ||rbe@fgv.br
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