Title

Predictability of exchange rates with taylor rule fundamentals: Evidence from inflation-targeting emerging countries

Publication Type

Journal Article

Publication Date

7-2015

Abstract

We investigate the out-of-sample predictability of U.S. dollar exchange rates with Taylor rule fundamentals in thirteen emerging countries with inflation-targeting monetary policy regimes. We find some evidence of out-of-sample exchange rate predictability for Brazil, Czech Republic, Hungary, Philippines, Thailand, and South Africa. Plots of the coefficients of U.S. inflation and Philippine inflation predict the direction of the U.S. dollar-Philippine peso exchange rates to be opposite to that predicted by the Taylor principle.

Keywords

emerging countries, exchange rate, inflation targeting, out-of-sample predictability, Taylor rule

Discipline

Macroeconomics

Research Areas

Econometrics

Publication

Emerging Markets Finance and Trade

Volume

51

Issue

4

First Page

714

Last Page

728

ISSN

1540-496X

Identifier

10.1080/1540496X.2015.1046344

Publisher

Taylor & Francis (Routledge): SSH Titles

Additional URL

http://dx.doi.org/10.1080/1540496X.2015.1046344

This document is currently not available here.

Share

COinS