کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7366434 | 1479184 | 2013 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Taylor rules and exchange rate predictability in emerging economies
ترجمه فارسی عنوان
قوانین تیلور و پیش بینی نرخ ارز در اقتصادهای نوظهور
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
This study demonstrates the relationship between exchange rate determination and an endogenous monetary policy represented by Taylor rules. We fill a gap in the literature by focusing on a group of fifteen emerging economies that adopted free-floating exchange rates and inflation targeting beginning in the mid-1990s. Because of the limited span of the time series, which is a common obstacle to studying emerging economies, we employ panel data regressions to produce more efficient estimates. Following the recent literature, we use a robust set of out-of-sample statistics, incorporating bootstrapped and asymptotic distributions for the Diebold-Mariano statistic, the Clark and West statistic and Theil's U ratio. By evaluating different specifications for the Taylor rule exchange rate model based on their out-of-sample performances, we find that a present-value forward-looking specification shows strong evidence of exchange rate predictability.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 32, February 2013, Pages 1008-1031
Journal: Journal of International Money and Finance - Volume 32, February 2013, Pages 1008-1031
نویسندگان
Jaqueson K. Galimberti, Marcelo L. Moura,