In which exchange rate models do forecasters trust?
Using survey data of market expectations, we describe which popular exchange rate models appear to be consistent with expectation formation of market forecasters. Exchange rate expectations are found to be correlated with inflation differentials and productivity differentials, indicating that the relative PPP and the Balassa-Samuelson effect are common inputs into the expectation formation of market forecasters.
Year of publication: |
2014
|
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Authors: | Hauner, D. ; Lee, J. ; Takizawa, H. |
Published in: |
Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 21.2014, 18, p. 1302-1308
|
Publisher: |
Taylor & Francis Journals |
Saved in:
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