Services on Demand
Journal
Article
Indicators
- Cited by SciELO
- Access statistics
Related links
- Similars in SciELO
Share
Contaduría y administración
Print version ISSN 0186-1042
Abstract
MOSQUEDA ALMANZA, Rubén and GUILLEN, Jorge. A model of medium term exchange rate forecast in an open economy: The case of the mexican peso. Contad. Adm [online]. 2014, vol.59, n.2, pp.197-225. ISSN 0186-1042.
Keynes (1930) and Samuelson (1965) proposals open the possibility of matching predictability and efficiency, as evidenced by the seminal study by Fisher (1930). Recent findings suggest that the foreign exchange market gradually incorporates relevant information allowing the formation of prices in a rational manner but not randomly. Models of exchange rate by term based on asset valuation suggest that the inclusion of risk in the spot rate increases the degree of predictability. The results show that after incorporating an accurate measure of risk, predictability of medium term foreign exchange rate increases.
Keywords : exchange rate forecast; forex market; asset valuation; risk premium.