Forecasting foreign exchange rates in Colombia assuming PPP conditions: Empirical evidence using VAR

Hernández, Catherine Fayad; Mesa, Roberto Carlos Fortich; Vélez-Pareja, Ignacio

doi:https://doi.org/10.1016/S0123-5923(09)70095-6

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Forecasting foreign exchange rates in Colombia assuming PPP conditions: Empirical evidence using VAR

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dc.creator	Hernández, Catherine Fayad	spa
dc.creator	Mesa, Roberto Carlos Fortich	spa
dc.creator	Vélez-Pareja, Ignacio	spa
dc.date.accessioned	2020-05-26T00:07:21Z
dc.date.available	2020-05-26T00:07:21Z
dc.date.created	2009	spa
dc.description.abstract	This document examines exchange rate forecasts during the 1995-2005 period, using a Purchasing Power of Parity Exchange Rate Model (PPPER). Our first finding is that the computed forecasts seem to validate the use of this model under certain conditions given that it performs well in predicting the behavior of the nominal exchange rate. Our second finding included a comparative analysis of out-of-sample forecasts (saving historical data) between the PPP-based forecast models and the Vector Autoregressive (VAR) model. The VAR has a better forecasting performance based on the RMSE, MAE, and U-Theil indicators. MAPE results measured on the first and second month-ahead forecasts indicate that the VAR model performs more poorly than the PPP-based models. © 2018 Tehran University of Medical Sciences. All rights reserved.	eng
dc.format.mimetype	application/pdf
dc.identifier.doi	https://doi.org/10.1016/S0123-5923(09)70095-6
dc.identifier.uri	https://repository.urosario.edu.co/handle/10336/23992
dc.language.iso	eng	spa
dc.publisher	Universidad Icesi	spa
dc.relation.citationEndPage	226
dc.relation.citationIssue	No. 113
dc.relation.citationStartPage	211
dc.relation.citationTitle	Estudios Gerenciales
dc.relation.citationVolume	Vol. 25
dc.relation.ispartof	Estudios Gerenciales, Vol.25, No.113 (2009); pp. 211-226	spa
dc.relation.uri	https://www.scopus.com/inward/record.uri?eid=2-s2.0-85081588981&doi=10.1016%2fS0123-5923%2809%2970095-6&partnerID=40&md5=a206a3576749c67e7e01fc9fdb7bf6ff	spa
dc.rights.accesRights	info:eu-repo/semantics/openAccess
dc.rights.acceso	Abierto (Texto Completo)	spa
dc.source.instname	instname:Universidad del Rosario	spa
dc.source.reponame	reponame:Repositorio Institucional EdocUR	spa
dc.subject.keyword	Financial forecasting	spa
dc.subject.keyword	Foreign exchange	spa
dc.subject.keyword	Time-series model	spa
dc.title	Forecasting foreign exchange rates in Colombia assuming PPP conditions: Empirical evidence using VAR	spa
dc.title.TranslatedTitle	Previsão da taxa de câmbio na Colômbia sob condições de PPC: evidência empírica usando VAR	por
dc.title.TranslatedTitle	PROYECCIÓN DE LA TASA DE CAMBIO DE COLOMBIA BAJO CONDICIONES DE PPA: EVIDENCIA EMPÍRICA USANDO VAR	spa
dc.type	article	eng
dc.type.hasVersion	info:eu-repo/semantics/publishedVersion
dc.type.spa	Artículo	spa