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En este trabajo evaluamos la proyección de la tasa de cambio (peso colombiano/dólar) con datos de 1995 a 2005 de Colombia a través del modelo de Tasa de Cambio de Paridad de Poder Adquisitivo (TCPPA). En primer lugar encontramos que las proyecciones realizadas validan el uso de este modelo...
Persistent link: https://www.econbiz.de/10005767962
El modelo gaussiano GARCH(1,1) ha sido empleado, tradicionalmente, en el estudio de la tasa de cambio; sin embargo, un número importante de estudios recientes (utilizando modelos FIGARCH e HYGARCH) ha encontrado evidencia de persistencia en su volatilidad. En este trabajo, usando una estrategia...
Persistent link: https://www.econbiz.de/10005603782
En este documento empleamos las seriesde la Tasa de Cambio Representativade Mercado y el Índice Generalde la Bolsa Colombia para ilustrarcuatro hechos estilizados muy conocidosen la literatura financiera: i) las series de precios siguen un caminoaleatorio, ii) la distribución de...
Persistent link: https://www.econbiz.de/10005604144
In this paper we evaluate a set of Colombian exchange rate forecasts during 1995-2005, using a Purchasing Power of Parity Exchange Rate Model (PPPER). Our first finding is that the computed forecasts seem to validate the use of this model under certain conditions given that, theoretically, it...
Persistent link: https://www.econbiz.de/10013152799
It is commonly known that various econometric techniques fail to consistently outperform a simple random walk model in forecasting exchange rates. The aim of this study is to analyse whether this also holds for selected currencies of the CEE region as the literature relating to the ability of...
Persistent link: https://www.econbiz.de/10013007869
The literature on exchange rate forecasting is vast. Many researchers have tested whether implications of theoretical economic models or the use of advanced econometric techniques can help explain future movements in exchange rates. The results of the empirical studies for major world currencies...
Persistent link: https://www.econbiz.de/10013008655
This paper presents a rule for foreign exchange interventions (FXI), designed to preserve financial stability in floating exchange rate arrangements. The FXI rule addresses a market failure: the absence of hedging solution for tail exchange rate risk in the market (i.e. high volatility). Market...
Persistent link: https://www.econbiz.de/10013243054
In this paper we evaluate a set of colombian exchange rate forecasts during the 1995-2005 period, using a Purchasing Power of Parity Exchange Rate Model (PPPER). Our first finding is that the computed forecasts seem to validate the use of this model under certain conditions given that,...
Persistent link: https://www.econbiz.de/10012715458
Rapach et al. (2013) have recently shown that U.S. equity market returns carry valuable information to improve return forecasts in a large cross-section of international equity markets. In this study, we extend the work of Rapach et al. (2013) and examine if U.S. based equity market information...
Persistent link: https://www.econbiz.de/10011213801
The literature on exchange rate forecasting is vast. Many researchers have tested whether implications of theoretical economic models or the use of advanced econometric techniques can help explain future movements in exchange rates. The results of the empirical studies for major world currencies...
Persistent link: https://www.econbiz.de/10009395413