EVALUACIÓN DE PRONÓSTICOS PARA LA TASA DE CAMBIO EN COLOMBIA (Article published in Spanish)

Authors

  • Carlos Ignacio Patiño Universidad Icesi
  • Julio César Alonso Cifuentes Economista, Universidad del Valle. Maestría en Economía, Iowa State University. Ph.D., Iowa State University. Profesor de tiempo completo del Departamento de Economía de la Universidad Icesi. Profesor-Investigador.

Keywords:

TASA DE CAMBIO, MODELOS ECONOMETRICOS, COLOMBIA, PRONOSTICOS

Abstract

This paper analyses the in sample forecasting performance of four models for the Colombian exchange rate during the period 1984:I - 2004:I. The sticky price monetary (Dornbusch (1976) - Frankel (1979)) and the Balassa - Samuelson (which gives a central role to the productivity differentials) approaches are used. Additionally, the Purchasing Power Parity condition (PPP) is analyzed. The forecasting ability of these models is compared using a random walk as a benchmark model. The measures used to evaluate the forecasts are the root mean square error (rms) and inequality coefficient of Theil. It is found that despite the great ability to predict, no model overcomes the random walk. This conclusion strengthens the previous results in the exchange rate determinants literature.

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Published

2005-09-30

Issue

Section

Research articles

How to Cite

EVALUACIÓN DE PRONÓSTICOS PARA LA TASA DE CAMBIO EN COLOMBIA (Article published in Spanish). (2005). Estudios Gerenciales, (96), 13-30. https://www2.icesi.edu.co/revistas/index.php/estudios_gerenciales/article/view/171