Uma abordagem GVAR de previsões de taxas de câmbio
Pereira, Vinicius Vale
O documento é disponibilizado pela fonte de origem, que mantém a versão integral e as condições de uso.
Resumo
This paper proposes a model that simultaneously forecasts foreign exchange rate for several countries using the GVAR framework and analyzes the quality of these forecasts. For this purpose, data from 10 countries or regions regarding exchange rates, interest rates and price levels on a monthly basis between 2003 and 2015 was used. The forecasting was performed using a 60 months moving window and the evaluation of these was performed comparing the root mean square errors against the standard benchmark, the random walk, and by Pesaran-Timmermann and Diebold-Mariano Tests. Out-of-sample forecasts were estimated for horizons of 1, 3, 12 and 18 months. The results show that the model cannot systematically outperform the random walk, although it has some predictive power in some specific cases.
Ficha do documento
- Tipo
- Dissertação
- Ano
- 2016
- Instituição
- Fundação Getulio Vargas
- Fonte
- Repositório da FGV
- Idioma
- Português
- Acesso
- Não informado
- Identificador
- oai:repositorio.fgv.br:10438/15643
- Temas
- Economia
Conteúdos relacionados
- DissertaçãoComparação de modelos de taxa de câmbioFundação Getulio Vargas · 2019
- DissertaçãoAnálise de um modelo de balanço de portfólio para a taxa de câmbioFundação Getulio Vargas · 2022
- TeseWhats is the contribution of fiscal sentiment to the Brazilian terms structure of interest rates?Fundação Getulio Vargas · 2025
- TeseEssays on industrial policy, inflation forecasting, and statistical foundations for time series inferenceFundação Getulio Vargas · 2025
