[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
The Usefulness of factor models in forecasting the exchange rate: results from the Brazilian case. (2012). Rossi, Jose ; Felicio, Wilson Rafael de Oliveira, ; Rossi, Jose Luiz J., .
In: Insper Working Papers.
RePEc:ibm:ibmecp:wpe_273.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 32

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Bacchetta, P. & van Wincoop, E. (2004). A Scapegoat Model of Exchange Rate Determination. American Economic Review, Papers and Proceedings, 94, 114-18.
    Paper not yet in RePEc: Add citation now

  2. Bacchetta, P. & van Wincoop, E. (2006). Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle? American Economic Review, 96, 552-576.

  3. Bacchetta, P. & van Wincoop, E. (2011). On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals, Manuscript.
    Paper not yet in RePEc: Add citation now

  4. Bai, J. (2004). Estimating Cross-Section Common Stochastic Trends in Nonstationary Panel Data. Journal of Econometrics, 122, 137-183.

  5. Cheung, Y., Chinn, M. & Pascual, A. (2005). Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive? Journal of International Money and Finance, 24, 1150-1175.

  6. Cheung, Y., Chinn, M. & Pascual, A. (2005b). What Do We Know about Recent Exchange Rate Models? In-Sample Fit and Out-of-Sample Performance Evaluated. in Paul De Grauwe, ed., Exchange Rate Economics: What Do we Stand?, The MIT Press: Chapter 8, 239-76.
    Paper not yet in RePEc: Add citation now

  7. Chinn, M. & Meese, R. (1995). Banking on Currency Forecasts: How Predictable is Change in Money? Journal of International Economics, 38, 161–178.

  8. Chinn, M. & Moore, M. (2010). Order Flow and the Monetary Model of Exchange Rates: Evidence from a Novel Data Set. Manuscript.

  9. Clark, T. & West, D. (2006). Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis. Journal of Econometrics, 135, 155-186.

  10. Clark, T. & West, K. (2007). Approximately Normal Tests for Equal Predictive Accuracy in Nested Models. Journal of Econometrics, 138, 291-311.

  11. Engel, C. & West, K. (2005). Exchange Rates and Fundamentals. Journal of Political Economy, 113, 485-517.

  12. Engel, C. & West, K. (2006). Taylor Rules and the Deutschmark-Dollar Real Exchange Rate.

  13. Engel, C., Mark, N. & West, K. (2007). Exchange Rate Models Are Not As Bad As You Think., in NBER Macroeconomics Annual, 2007, D. Acemoglu, K. Rogoff and M. Woodford (eds.), Chicago: University of Chicago Press.

  14. Engel, C., Mark, N. & West, K. D. (2008). Factor Model Forecasts of Exchange Rates, Working Paper, Manuscript.
    Paper not yet in RePEc: Add citation now

  15. Evans, M. & Lyons, R. (2002). Order Flow and Exchange Rate Dynamics. Journal of Political Economy, 110, 170–180.

  16. Evans, M. & Lyons, R. (2005). Meese-Rogoff Redux: Micro-based Exchange Rate Forecasting, American Economic Review Papers and Proceedings, May, 405-414.

  17. Evans, M. & Lyons, R. (2008). How Is Macro News Transmitted to Exchange Rates?.Journal of Financial Economics, 88, 26-50.

  18. Faust, J., Rogers J.H. & Wright J.H. (2003). Exchange rate forecasting: the errors we’ve really made. Journal of International Economics, 60, 35-59.

  19. Forni, M. & Reichlin, L. (1998). Let's Get Real: A Factor Analytic Approach to Disaggregated Business Cycle Dynamics. Review of Economic Studies, 65, 453-473.

  20. Forni, M., Hallin, M., Lippi, M. & Reichlin, L. (2000). The Generalized Dynamic Factor Model: Identification and Estimation. Review of Economics and Statistics, 82, 540-554.

  21. Fratzscher, M., Sarno, L.; & Zinna, G. (2012). The scapegoat theory of exchange rates: The first tests. European Central Bank Working Paper 1418.

  22. Groen, J. J. (2006). Fundamentals Based Exchange Rate Prediction Revisited. Manuscript, Bank of England.
    Paper not yet in RePEc: Add citation now

  23. Groen, J.J. (2005). Exchange Rate Predictability and Monetary Fundamentals in a Small MultiCountry Panel. Journal of Money, Credit and Banking, 37, 495-516.

  24. Mark, N. (1995). Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability. American Economic Review, 85, 201-218.

  25. Mark, N. (2008). Changing Monetary Policy Rules, Learning and Real Exchange Rate Dynamics. Manuscript, University of Notre Dame.
    Paper not yet in RePEc: Add citation now
  26. Mark, N. & Donggyu, S. (2001). Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Sample. Journal of International Economics 53, 29-52.
    Paper not yet in RePEc: Add citation now

  27. Meese, R. & Rogoff, K. (1983). Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample? Journal of International Economics, 14, 3-24.

  28. Moura, M., Lima, A. & Mendonça, R. (2008). Exchange Rate and Fundamentals: The Case of Brazil. Revista de Economia Aplicada, 12, 395-416.

  29. Muinhos, M., Alves, S. & Riella, G. (2003). Modelo macroeconômico com setor externo: endogeneização do prêmio de risco e do câmbio. Pesquisa e Planejamento Econômico, 33, 61-89.

  30. Sarno, L. & Taylor, M. (2002). The Economics of Exchange Rates. Cambridge and New York: Cambridge University Press.
    Paper not yet in RePEc: Add citation now

  31. Sarno, L. & Valente, G. (2009). Exchange Rates and Fundamentals: Footloose or Evolving Relationship? Journal of the European Economic Association, 7, 786-830.

  32. Stock, J. H. & Watson, M. (2002). Forecasting Using Principal Components from a Large Number of Predictors. Journal of the American Statistical Association, 97, 1167-1179. APPENDIX

Cocites

Documents in RePEc which have cited the same bibliography

  1. Optimally Sticky Prices. (2015). L'Huillier, Jean-Paul ; Zame, William .
    In: 2015 Meeting Papers.
    RePEc:red:sed015:621.

    Full description at Econpapers || Download paper

  2. Foreign exchange intervention and expectation in emerging economies. (2013). Miyajima, Ken.
    In: BIS Working Papers.
    RePEc:bis:biswps:414.

    Full description at Econpapers || Download paper

  3. Speculative dynamics in the term structure of interest rates. (2012). Nimark, Kristoffer.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1194.

    Full description at Econpapers || Download paper

  4. Sources of Risk in Currency Returns. (2012). Zviadadze, Irina ; Chernov, Mikhail ; Graveline, Jeremy .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8745.

    Full description at Econpapers || Download paper

  5. How much you know matters: A note on the exchange rate disconnect puzzle. (2011). Onur, Esen.
    In: MPRA Paper.
    RePEc:pra:mprapa:32772.

    Full description at Econpapers || Download paper

  6. Asymmetric Price Impacts of Order Flow on Exchange Rate Dynamics. (2011). shin, yongcheol ; Nguyen, Viet Hoang.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2011n14.

    Full description at Econpapers || Download paper

  7. The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?. (2011). Sestieri, Giulia ; Sarno, Lucio ; Della Corte, P..
    In: Working papers.
    RePEc:bfr:banfra:313.

    Full description at Econpapers || Download paper

  8. The Role of Human Capital in Imperfectly Informed International Financial Markets. (2010). SHIN, JONG ; Ehrlich, Isaac.
    In: Working Papers.
    RePEc:hkm:wpaper:092010.

    Full description at Econpapers || Download paper

  9. The puzzling evolution of the home bias, information processing and financial openness. (2010). Wu, Thomas ; Mondria, Jordi.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:5:p:875-896.

    Full description at Econpapers || Download paper

  10. Self-Fulfilling Risk Panics. (2010). van Wincoop, Eric ; Tille, Cédric ; Bacchetta, Philippe.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7920.

    Full description at Econpapers || Download paper

  11. Learning and Complementarities: Implications for Speculative Attacks. (2010). Yuan, Kathy ; Ozdenoren, Emre ; Goldstein, Itay.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7651.

    Full description at Econpapers || Download paper

  12. Higher-order beliefs among professional stock market forecasters: some first empirical tests. (2009). Schrimpf, Andreas ; Schmeling, Maik ; Rangvid, Jesper .
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:09042.

    Full description at Econpapers || Download paper

  13. Can Parameter Instability Explain the Meese-Rogoff Puzzle?. (2009). van Wincoop, Eric ; Beutler, Toni ; Bacchetta, Philippe.
    In: Working Papers.
    RePEc:szg:worpap:0904.

    Full description at Econpapers || Download paper

  14. The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself. (2009). Taylor, Alan ; Jorda, Oscar.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15518.

    Full description at Econpapers || Download paper

  15. Can Parameter Instability Explain the Meese-Rogoff Puzzle?. (2009). van Wincoop, Eric ; Beutler, Toni ; Bacchetta, Philippe.
    In: Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP).
    RePEc:lau:crdeep:09.08.

    Full description at Econpapers || Download paper

  16. On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals. (2009). van Wincoop, Eric ; Bacchetta, Philippe.
    In: Working Papers.
    RePEc:hkm:wpaper:272009.

    Full description at Econpapers || Download paper

  17. Exchange rates and fundamentals under adaptive learning. (2009). Kim, Youngse .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:4:p:843-863.

    Full description at Econpapers || Download paper

  18. The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself. (2009). Taylor, Alan ; Jorda, Oscar.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7568.

    Full description at Econpapers || Download paper

  19. Can Parameter Instability Explain the Meese-Rogoff Puzzle?. (2009). van Wincoop, Eric ; Beutler, Toni ; Bacchetta, Philippe.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7383.

    Full description at Econpapers || Download paper

  20. The Time-Varying Systematic Risk of Carry Trade Strategies. (2009). Söderlind, Paul ; Ranaldo, Angelo ; Christiansen, Charlotte ; Soderlind, Paul .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7345.

    Full description at Econpapers || Download paper

  21. On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals. (2009). van Wincoop, Eric ; Bacchetta, Philippe.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7309.

    Full description at Econpapers || Download paper

  22. Exchange Rate Forecasting, Order Flow and Macroeconomic Information. (2009). Sojli, Elvira ; Sarno, Lucio ; Rime, Dagfinn.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7225.

    Full description at Econpapers || Download paper

  23. Exchange Rate Forecasters Performance: Evidence of Skill?. (2009). Menkhoff, Lukas ; MacDonald, Ronald ; Rebitzky, Rafael R..
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2615.

    Full description at Econpapers || Download paper

  24. Private information, stock markets, and exchange rates. (2009). Loretan, Mico ; Gyntelberg, Jacob ; Chan, Eric ; Subhanij, Tientip .
    In: BIS Working Papers.
    RePEc:bis:biswps:271.

    Full description at Econpapers || Download paper

  25. A Theory of Demand Shocks. (2009). Lorenzoni, Guido.
    In: American Economic Review.
    RePEc:aea:aecrev:v:99:y:2009:i:5:p:2050-84.

    Full description at Econpapers || Download paper

  26. The Time-Varying Systematic Risk of Carry Trade Strategies. (2009). Söderlind, Paul ; Ranaldo, Angelo ; Christiansen, Charlotte ; Soderllind, Paul .
    In: CREATES Research Papers.
    RePEc:aah:create:2009-15.

    Full description at Econpapers || Download paper

  27. The role of asymmetric information among investors in the foreign exchange market. (2008). Onur, Esen.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:13:y:2008:i:4:p:368-385.

    Full description at Econpapers || Download paper

  28. Order Flows and The Exchange Rate Disconnect Puzzle. (2008). Evans, Martin.
    In: Working Papers.
    RePEc:geo:guwopa:gueconwpa~08-08-05.

    Full description at Econpapers || Download paper

  29. The coordination channel of foreign exchange intervention: A nonlinear microstructural analysis. (2008). Taylor, Mark ; Reitz, Stefan.
    In: European Economic Review.
    RePEc:eee:eecrev:v:52:y:2008:i:1:p:55-76.

    Full description at Econpapers || Download paper

  30. Estimating Exchange Rate Equations Using Estimated Expectations. (2008). Fair, Ray.
    In: Working Papers.
    RePEc:ecl:yaleco:33.

    Full description at Econpapers || Download paper

  31. Exchange Rates and Fundamentals: Footloose or Evolving Relationship?. (2008). Valente, Giorgio ; Sarno, Lucio.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6638.

    Full description at Econpapers || Download paper

  32. Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach. (2008). Schröder, Michael ; Menkhoff, Lukas ; Schroder, Michael ; Rebitzky, Rafael R..
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2502.

    Full description at Econpapers || Download paper

  33. Freely Floating Exchange Rates Do Not Systematically Overshoot. (2008). Pippenger, John .
    In: University of California at Santa Barbara, Economics Working Paper Series.
    RePEc:cdl:ucsbec:qt97m8z6hw.

    Full description at Econpapers || Download paper

  34. Rational Diverse Beliefs and Economic Volatility. (2007). Kurz, Mordecai .
    In: Discussion Papers.
    RePEc:sip:dpaper:06-045.

    Full description at Econpapers || Download paper

  35. The Influence of Actual and Unrequited Interventions. (2007). Dominguez, Kathryn ; Panthaki, Freyan ; Kathryn M. E. Dominguez, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12953.

    Full description at Econpapers || Download paper

  36. The Influence of Actual and Unrequited Interventions. (2007). Dominguez, Kathryn ; Panthaki, Freyan ; Kathryn M. E. Dominguez, .
    In: Working Papers.
    RePEc:mie:wpaper:561.

    Full description at Econpapers || Download paper

  37. Trading activity and exchange rates in high-frequency EBS data. (2007). Wright, Jonathan ; Chaboud, Alain P. ; Chernenko, Sergey V..
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:903.

    Full description at Econpapers || Download paper

  38. A monetary model of the exchange rate with informational frictions. (2007). Martínez García, Enrique ; Martinez-Garcia, Enrique.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:02.

    Full description at Econpapers || Download paper

  39. Multiple equilibria in a simple asset pricing model. (2007). Whiteman, Charles ; Walker, Todd.
    In: Economics Letters.
    RePEc:eee:ecolet:v:97:y:2007:i:3:p:191-196.

    Full description at Econpapers || Download paper

  40. The coordination channel of foreign exchange intervention: a nonlinear microstructural analysis. (2006). Taylor, Mark ; Reitz, Stefan.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4245.

    Full description at Econpapers || Download paper

  41. Exchange Rate Volatility and Productivity Growth: The Role of Financial Development. (2006). Rogoff, Kenneth ; Ranciere, Romain ; Bacchetta, Philippe ; Aghion, Philippe.
    In: Working Papers.
    RePEc:szg:worpap:0602.

    Full description at Econpapers || Download paper

  42. The Coordination Channel of Foreign Exchange Intervention. (2006). Taylor, Mark ; Reitz, Stefan.
    In: Computing in Economics and Finance 2006.
    RePEc:sce:scecfa:16.

    Full description at Econpapers || Download paper

  43. A Theory of Demand Shocks. (2006). Lorenzoni, Guido.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12477.

    Full description at Econpapers || Download paper

  44. Exchange Rate Volatility and Productivity Growth: The Role of Financial Development. (2006). Rogoff, Kenneth ; Ranciere, Romain ; Bacchetta, Philippe ; Aghion, Philippe.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12117.

    Full description at Econpapers || Download paper

  45. Incomplete information processing: a solution to the forward discount puzzle. (2006). van Wincoop, Eric ; Bacchetta, Philippe.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-35.

    Full description at Econpapers || Download paper

  46. A Critical Appraisal of Recent Developments in the Analysis of Foreign Exchange Intervention. (2006). Vitale, Paolo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5729.

    Full description at Econpapers || Download paper

  47. A Market Microstructure Analysis of Foreign Exchange Intervention. (2006). Vitale, Paolo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5468.

    Full description at Econpapers || Download paper

  48. The Puzzling Evolution of the Home Bias, Information Processing and Financial Openness. (2006). Wu, Thomas ; Mondria, Jordi.
    In: Santa Cruz Department of Economics, Working Paper Series.
    RePEc:cdl:ucscec:qt4wg39067.

    Full description at Econpapers || Download paper

  49. The Puzzling Evolution of the Home Bias, Information Processing and Financial Openness. (2006). Wu, Thomas ; Mondria, Jordi.
    In: Santa Cruz Center for International Economics, Working Paper Series.
    RePEc:cdl:scciec:qt4wg39067.

    Full description at Econpapers || Download paper

  50. Rational Inattention: A Solution to the Forward Discount Puzzle. (2005). van Wincoop, Eric ; Bacchetta, Philippe.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5261.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-14 15:12:15 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.