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Predictable of Exchange Rate: a Comparison of Stochastic Simulation Models

In: Nonlinear Time Series and Finance

Author

Listed:
  • Rodríguez-Nava, Abigail

    (UAM)

  • Venegas-Martínez, Francisco

    (Escuela Superior de Economía del Instituto Politécnico Nacional)

Abstract

The economic and financial literature concerning the prediction of the exchange rate can be grouped into two areas The first of these is associated with monetary policy intervention in the exchange market, and the second one explores the possibilities for prediction and simulation of the exchange rate Both issues are interrelated because when the exchange rate can be controlled by the monetary authority its prediction is highly possible in the short term, but the quality of this prediction depends on the models used to represent agents’ expectations.

Suggested Citation

  • Rodríguez-Nava, Abigail & Venegas-Martínez, Francisco, 2014. "Predictable of Exchange Rate: a Comparison of Stochastic Simulation Models," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, in: Universidad de Guadalajara (ed.), Nonlinear Time Series and Finance, volume 1, chapter 9, pages 217-227, Escuela Superior de Economía, Instituto Politécnico Nacional.
    • Handle: RePEc:ipn:capitu:026
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