Keywords
exchange rate forecast
forex market
asset valuation
risk premium
forex market
asset valuation
risk premium
How to Cite
Mosqueda Almanza, R., & Guillén, J. (2015). A model of medium term exchange rate forecast in an open economy. The case of the mexican peso. Accounting & Management, 59(2), 197–225. https://doi.org/10.1016/S0186-1042(14)71260-4
Abstract
Keynes (1930) and Samuelson (1965) proposals open the possibilityof matching predictability and efficiency, as evidencedby the seminal study by Fisher (1930). Recent findings suggestthat the foreign exchange market gradually incorporates relevantinformation allowing the formation of prices in a rationalmanner but not randomly. Models of exchange rate by termbased on asset valuation suggest that the inclusion of risk inthe spot rate increases the degree of predictability. The resultsshow that after incorporating an accurate measure of risk, predictabilityof medium term foreign exchange rate increases.© 2015, School of Accounting and Management, National Autonomous University of Mexico. All rights reserved. Publication of the article implies full assignment of property rights (copyright) in Journal of Accounting and Management. The publication mreserves the right to total or partial reproduction of the work in other print, electronic or any other alternative means, but always recognizing its responsibility.
Unless otherwise stated, all contents of the electronic edition of the journal are distributed under a license and distribution "Creative Commons Attribution-Noncommercial 4.0 International" (CC-by). You can see from here the version of the license information. This circumstance must be expressly stated in this way when necessary.
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