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: | 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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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 |
_version_ |
1798943114469048320 |