Sarmidi, Tamat (2008): Exchange Rates Predictability in Developing Countries.
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The main objective of this study is to re-investigates the exchange rates predictability puzzle using monetary model. It is hypothesised that the performance of exchange rate predictability is better off in countries with monetary instability. We employ bootstrap technique as proposed by Kilian (1999) to alleviate statistical inference intricacies inherit in the long horizon forecasting for three different monetary models (flexible price, sticky price and relative price) for selected developing economies. The empirical result shows the superiority of sticky price model along with the evidence of exchange rate predictability for high inflation economies.
|Item Type:||MPRA Paper|
|Original Title:||Exchange Rates Predictability in Developing Countries|
|Keywords:||Foreign exchange; international finance; forecasting;|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
F - International Economics > F3 - International Finance > F31 - Foreign Exchange
|Depositing User:||TAMAT SARMIDI|
|Date Deposited:||04. Aug 2009 09:58|
|Last Modified:||19. Feb 2013 07:43|
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