Common factors and the exchange rate: results from the Brazilian case
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Revista Brasileira de Economia (Online) |
Texto Completo: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402014000100004 |
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 like the demand for dollars - a "dollar effect", volatility and liquidity of global financial markets. |
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Common factors and the exchange rate: results from the Brazilian caseExchange ratesFactor modelsForecastingThis 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 like the demand for dollars - a "dollar effect", volatility and liquidity of global financial markets.Fundação Getúlio Vargas2014-03-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402014000100004Revista Brasileira de Economia v.68 n.1 2014reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGV10.1590/S0034-71402014000100004info:eu-repo/semantics/openAccessFelício,Wilson Rafael de OliveiraRossi Júnior,José Luizeng2014-04-22T00:00:00Zoai:scielo:S0034-71402014000100004Revistahttp://bibliotecadigital.fgv.br/ojs/index.php/rbe/issue/archivehttps://old.scielo.br/oai/scielo-oai.php||rbe@fgv.br1806-91340034-7140opendoar:2014-04-22T00:00Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)false |
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 Felício,Wilson Rafael de Oliveira Exchange rates Factor models 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 |
Felício,Wilson Rafael de Oliveira |
author_facet |
Felício,Wilson Rafael de Oliveira Rossi Júnior,José Luiz |
author_role |
author |
author2 |
Rossi Júnior,José Luiz |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Felício,Wilson Rafael de Oliveira Rossi Júnior,José Luiz |
dc.subject.por.fl_str_mv |
Exchange rates Factor models Forecasting |
topic |
Exchange rates Factor models 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 like the demand for dollars - a "dollar effect", volatility and liquidity of global financial markets. |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-03-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402014000100004 |
url |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0034-71402014000100004 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.1590/S0034-71402014000100004 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
text/html |
dc.publisher.none.fl_str_mv |
Fundação Getúlio Vargas |
publisher.none.fl_str_mv |
Fundação Getúlio Vargas |
dc.source.none.fl_str_mv |
Revista Brasileira de Economia v.68 n.1 2014 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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1754115905572306944 |