Publication Type
Journal Article
Version
acceptedVersion
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
Citation
ALBA, Joseph D.; PARK, Donghyun; and XIE, Taojun.
Predictability of exchange rates with Taylor rule fundamentals: Evidence from inflation-targeting emerging countries. (2015). Emerging Markets Finance and Trade. 51, (4), 714-728.
Available at: https://ink.library.smu.edu.sg/soe_research/1879
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1080/1540496X.2015.1046344