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

• Main Authors: ALBA, Joseph D., PARK, Donghyun, XIE, Taojun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: emerging countries; exchange rate; inflation targeting; out-of-sample predictability; Taylor rule; Macroeconomics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1879; https://ink.library.smu.edu.sg/context/soe_research/article/2879/viewcontent/Predictability_of_Exchange_Rates_With_Taylor_Rule_av.pdf
• Institution: Singapore Management 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...