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Expectations and Exchange Rate Policy
Devereux, Michael B. - 2006
Both empirical evidence and theoretical discussion have long emphasized the impact of %u201Cnews%u201D on exchange rates. In most exchange rate models, the exchange rate acts as an asset price, and as such responds to news about future returns on assets. But the exchange rate also plays a role...
Persistent link: https://www.econbiz.de/10012780131
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Estimating Expected Exchange Rates Under Target Zones
Chen, Zhaohui; Giovannini, Alberto - 2022
different shapes, which may correspond to possibly widely different monetary and exchange-rate intervention policies. We also …
Persistent link: https://www.econbiz.de/10013323565
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The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors
Clarida, Richard - 2010
We present theory and evidence that challenges the view that forward premia contain little information regarding …
Persistent link: https://www.econbiz.de/10012763403
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Exchange-Rate Expectations and Nominal Interest Differentials : A Test Ofthe Fisher Hypothesis
Cumby, Robert E.; Obstfeld, Maurice - 2021
This note tests the hypothesis that nominal interest differentials between similar assets denominated in different currencies can be explained entirely by the expected change in the exchange rate over the holding period. This proposition, often called the "Fisher open" hypothesis or the...
Persistent link: https://www.econbiz.de/10013222938
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Exchange Rate Expectations and the Risk Premium : Tests for a Cross- Section of 17 Currencies
Chinn, Menzie David; Frankel, Jeffrey A. - 2021
Survey data on a broad cross section of 17 currencies are used to determine whether the forward discount moves primarily in response to changes in expectations of depreciation, or in the risk premium. We find that changes in expected depreciation are quantitatively significant. However we also...
Persistent link: https://www.econbiz.de/10013226178
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Exchange Rate Dynamics and Learning
Gourinchas, Pierre-Olivier; Tornell, Aaron - 2021
Interest rate expectations are essential for exchange rate determination. Using a unique Survey data set on interest rate forecasts from 1986 to 1995 for G7 countries, we find that interest rate shocks were significantly more persistent in sample than expected by the market. This is consistent...
Persistent link: https://www.econbiz.de/10013247648
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Rational Speculation and Exchange Rates
Duarte, Margarida; Stockman, Alan C. - 2021
In this paper we develop a general equilibrium model of exchange rates where expectations of future variables directly affect the current exchange rate through an 'asset-market' term. This term, which results from the assumptions of incomplete asset markets and segmented product markets, does...
Persistent link: https://www.econbiz.de/10013229053
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A Model of Exchange-Rate Determination with Policy Reaction : Evidence from Monthly Data
Branson, William H. - 2021
exchange rates. At the same time, there has been extensive and continuous intervention in the market by central banks. Exchange … between domestic and foreign bonds, in order to prepare for the analysis of intervention policy in section III … policy and sterilized intervention.In section IV we turn to the monthly data. The quarterly data were analyzed in Branson …
Persistent link: https://www.econbiz.de/10013216880
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The Determinants of the Choice between Fixed and Flexible Exchange-Rate Regimes
Edwards, Sebastian - 2021
In recent years, analysts and policy makers alike have been evaluating the nexus between exchange rates and macroeconomic stability. Among the most important questions is why have some countries adopted rigid, including fixed, exchange-rate paper addresses this question from a political economy...
Persistent link: https://www.econbiz.de/10013237257
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Exchange Rates as Nominal Anchors
Edwards, Sebastian - 2021
This paper discusses the use of nominal exchange rates as nominal anchors in stabilization programs. The first part deals with the dynamics of inflation in highly indexed economies. It is shown that credible exchange rate anchors will reduce the degree of inflationary inertia. However, if some...
Persistent link: https://www.econbiz.de/10013216865