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The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors

Clarida, Richard H. - 1993

We present theory and evidence that challenges the view that forward premia contain little information regarding subsequent spot rate movements. Using weekly dollar-mark and dollar sterling data, we find that spot and forward exchange rates together are well represented by a vector error...

Persistent link: https://www.econbiz.de/10012474508

Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets

Froot, Kenneth A. - 1987

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns are excessively volatile are developed and performed for the foreign exchange and stock markets. These tests have a number of advantages over alternative, variance hounds...

Persistent link: https://www.econbiz.de/10012476706

Forecasting Exchange Rates and Relative Prices with the Hamburger Standard : Is What You Want What You Get With McParity?

Cumby, Robert E. - 1996

provide useful information for forecasting exchange rates. After accounting for currency-specific constants, a 10 percent …. Finally, deviations from relative Big Mac parity seem to be helpful in forecasting relative local currency prices. When the U ….S. dollar price of Big Macs is high in a country, the relative local currency price of Big Macs in that country is likely to …

Persistent link: https://www.econbiz.de/10012473167

Monetary Policy and the Predictability of Nominal Exchange Rates

Eichenbaum, Martin - 2017

This paper studies how the monetary policy regime affects the relative importance of nominal exchange rates and inflation rates in shaping the response of real exchange rates to shocks. We document two facts about countries with floating exchange rates where monetary policy controls inflation...

Persistent link: https://www.econbiz.de/10012455523

Exchange Rate Economics : 1986

Dornbusch, Rudiger - 1986

In the past fifteen years key exchange rates have moved in larger and more persistent ways than advocates of flexible rates in the late 1960s would have left anyone free to imagine. Certainly there was no expectation of constancy for nominal exchange rates. But real exchange rate movements of 30...

Persistent link: https://www.econbiz.de/10012476999

Exchange Rates, Money and Relative Prices : The Dollar-Pound in the 1920's

Clements, Kenneth W. - 1980

This paper applies the analytical framework of the monetary approach to exchange rate determination to the analysis of the Dollar/Pound exchange rate during the first part of the 1920's. The analysis uses monthly data up to the return of Britain to gold in 1925. The equilibrium exchange rate is...

Persistent link: https://www.econbiz.de/10012478716

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Frankel, Jeffrey A. - 1990

foreign currency. The paper ends with one piece of evidence to support the model: the fraction of foreign exchange forecasting …

Persistent link: https://www.econbiz.de/10012475557

Relative Prices, Employment, and the Exchange Rate in an Economy with Foresight

Obstfeld, Maurice - 1981

This paper studies the effects of monetary policy in a small, open economy with a floating exchange rate, sticky wages, and rational expectations in both the asset and labor markets. The model developed emphasizes the link between exchange-rate depreciation and nominal wage inflation, embodying...

Persistent link: https://www.econbiz.de/10012478433

The Predictability of Real Exchange Rate Changes in the Short and Long Run

Cumby, Robert E. - 1990

Nominal exchange rates do not move to offset differences in inflation rates on a month to month, quarter to quarter, or even year to year basis, resulting in sizable real exchange rate changes. Are these changes predictable? We address this question in three ways. First, we describe a variety of...

Persistent link: https://www.econbiz.de/10012475559

Order Flow and Exchange Rate Dynamics

Evans, Martin D.D. - 1999

Macroeconomic models of nominal exchange rates perform poorly. In sample, R2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a na‹ve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic...

Persistent link: https://www.econbiz.de/10012471467

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