Número:
857
Publicado:
Clasificación JEL:
C5, F31, F47, G15
Palabras clave:
Exchange Rates, Out-of-sample, Predictability, Asset Pricing

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Nicol Valeria Rodríguez-Rodríguez, Hernán Dario Perdomo-Sánchez
Luis Fernando Melo-Velandia, Daniel Parra-Amado, Juan Pablo Bermúdez-Cespedes
This paper provides evidence of short-run predictability for the real exchange rate by performing out-of-sample tests of a forecasting equation which is derived from a consumption-based asset pricing model. In this model, the real exchange rate is predict