An analysis of long horizon exchange rate predictability
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/105633 |
Resumo: | Exchange rate predictability in long-horizons has turned into a debatable topic. Many were the ones achieving evidence of higher predictive power by economic models as larger periods were considered, while others argued against this premise. The main problem resides in the data properties that the regressors used exhibit, more specifically, overlapping observations, high ly persistent regressors, and endogeneity, which affect the statistical inference. Consequently, if the biases are wrongfully corrected, invalid conclusions will be reached. Bearing this in mind, this analysis applies suitable tests aimed at overcoming these issues, after which it is in ferred that mean-based regressions present weak statistical evidence on larger predictability in longer horizons. Lastly, a quantile regression is implemented, contemplating all potential biases. This innovative procedure finally provides results favoring long-horizon predictability. |
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An analysis of long horizon exchange rate predictabilityPredictabilityExchange ratesQuantile regressionDomínio/Área Científica::Ciências Sociais::Economia e GestãoExchange rate predictability in long-horizons has turned into a debatable topic. Many were the ones achieving evidence of higher predictive power by economic models as larger periods were considered, while others argued against this premise. The main problem resides in the data properties that the regressors used exhibit, more specifically, overlapping observations, high ly persistent regressors, and endogeneity, which affect the statistical inference. Consequently, if the biases are wrongfully corrected, invalid conclusions will be reached. Bearing this in mind, this analysis applies suitable tests aimed at overcoming these issues, after which it is in ferred that mean-based regressions present weak statistical evidence on larger predictability in longer horizons. Lastly, a quantile regression is implemented, contemplating all potential biases. This innovative procedure finally provides results favoring long-horizon predictability.Rodrigues, Paulo M. M.RUNSantos, Patrícia Vicente Lopes Da Silva2020-10-15T13:01:43Z2020-01-212020-01-032020-01-21T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/105633TID:202493784enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:50:51Zoai:run.unl.pt:10362/105633Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:40:32.701732Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
An analysis of long horizon exchange rate predictability |
title |
An analysis of long horizon exchange rate predictability |
spellingShingle |
An analysis of long horizon exchange rate predictability Santos, Patrícia Vicente Lopes Da Silva Predictability Exchange rates Quantile regression Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
An analysis of long horizon exchange rate predictability |
title_full |
An analysis of long horizon exchange rate predictability |
title_fullStr |
An analysis of long horizon exchange rate predictability |
title_full_unstemmed |
An analysis of long horizon exchange rate predictability |
title_sort |
An analysis of long horizon exchange rate predictability |
author |
Santos, Patrícia Vicente Lopes Da Silva |
author_facet |
Santos, Patrícia Vicente Lopes Da Silva |
author_role |
author |
dc.contributor.none.fl_str_mv |
Rodrigues, Paulo M. M. RUN |
dc.contributor.author.fl_str_mv |
Santos, Patrícia Vicente Lopes Da Silva |
dc.subject.por.fl_str_mv |
Predictability Exchange rates Quantile regression Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Predictability Exchange rates Quantile regression Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
Exchange rate predictability in long-horizons has turned into a debatable topic. Many were the ones achieving evidence of higher predictive power by economic models as larger periods were considered, while others argued against this premise. The main problem resides in the data properties that the regressors used exhibit, more specifically, overlapping observations, high ly persistent regressors, and endogeneity, which affect the statistical inference. Consequently, if the biases are wrongfully corrected, invalid conclusions will be reached. Bearing this in mind, this analysis applies suitable tests aimed at overcoming these issues, after which it is in ferred that mean-based regressions present weak statistical evidence on larger predictability in longer horizons. Lastly, a quantile regression is implemented, contemplating all potential biases. This innovative procedure finally provides results favoring long-horizon predictability. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-10-15T13:01:43Z 2020-01-21 2020-01-03 2020-01-21T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/105633 TID:202493784 |
url |
http://hdl.handle.net/10362/105633 |
identifier_str_mv |
TID:202493784 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
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.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799138019945480192 |