Exchange Rate Predictability in Emerging Markets (Amundi AM)

This paper will focus on the five most frequently traded Latin American currencies, Brazilian Real (BRL), Chilean Peso (CLP), Colombian Peso (COL), Mexican Peso (MXN) and Peruvian Sol (PEN), during the time horizon from December 2001 until February 2016. The first finding is that the Global Exchange Rate Factor offers information about the exchange rate movements. In addition, this paper shows that commodity, equity prices and domestic risk premium are important variables for explaining exchange rates. Moreover, it confirms the existing results for the carry and slope variables. READ MORE

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