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

• Main Authors: Alba, Joseph Dennis, Park, Donghyun, Xie, Taojun
• Other Authors: School of Social Sciences
• Format: Article
• Language: English
• Published: 2021
• Subjects: Social sciences::Economic theory; Emerging Countries; Exchange Rate
• Online Access: https://hdl.handle.net/10356/147546
• Institution: Nanyang Technological University

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, Philip...