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Fundamental determinants of exchange rate expectations
Beckmann, Joscha; Czudaj, Robert - 2022
This paper provides a new perspective on the exchange rate disconnect puzzle by referring to the expectations building … mechanism in foreign exchange markets. We analyze the role of expectations regarding macroeconomic fundamentals for expected … expectations regarding GDP growth, inflation, interest rates, and current accounts. Our empirical findings show that fundamentals …
Persistent link: https://www.econbiz.de/10012990178
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Fundamental determinants of exchange rate expectations
Beckmann, Joscha; Czudaj, Robert - 2020
This paper provides a new perspective on the exchange rate disconnect puzzle by referring to the expectations building … mechanism in foreign exchange markets. Therefore, we analyze the role of expectations regarding macroeconomic fundamentals for … expected exchange rate changes. In doing so, we assess data for 31 economies from 2002 to 2017 and consider expectations …
Persistent link: https://www.econbiz.de/10012435503
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Back to gold : sterling in 1925
Gerlach, Stefan; Kugler, Peter - 2015
Expectations of Sterling returning to Gold have been disregarded in empirical work on the US dollar - Sterling exchange …
Persistent link: https://www.econbiz.de/10011336495
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Purchasing power parity and the European single currency: some new evidence
Christidou, Maria; Panagiotidis, Theodore - 2010
The effect of the single currency on the Purchasing Power Parity (PPP) hypothesis is examined in this study for the 15 EU countries, vis a vis the US dollar, before and after the advent of the euro. Standard as well as nonlinear unit root tests are employed on the time series dimension. Unit...
Persistent link: https://www.econbiz.de/10010273678
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Global current account imbalances and exchange rate adjustment: the role of oil suppliers
Oberpriller, Christian M. - 2007
The present paper extends the Obstfeld and Rogoff (2005) framework of current account imbalances by the oil exporting countries as a fourth region. It sets the stage for a variety of analysis that can be conducted within a four-region-setting that accounts for the importance of OPEC as a major...
Persistent link: https://www.econbiz.de/10010264894
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Exchange rates and global imbalances: the importance of asset valuation effects and interest rate changes
Oberpriller, Christian M. - 2007
this paper analyzes two effects which might have an important impact on a reduction of global external imbalances. These are valuation effects on the one hand and interest rate effects on the other hand. We use a four-region model that is based on the models by Obstfeld and Rogoff (2005) and...
Persistent link: https://www.econbiz.de/10010264895
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Investor sentiment in the US-dollar: longer-term, nonlinear orientation on PPP
Menkhoff, Lukas; Rebitzky, Rafael R. - 2007
irrational exchange rate expectations? We look at this puzzle from a different perspective by analyzing investor sentiment in the …
Persistent link: https://www.econbiz.de/10010264930
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Exchange rates and individual good's price misalignment: Some preliminary evidence of long-horizon predictability
Dong, Wei; Nam, Deokwoo - 2011
When prices are sticky, movements in the nominal exchange rate have a direct impact on international relative prices. A relative price misalignment would trigger an adjustment in consumption and employment, and may help to predict future movements in the exchange rate. Although...
Persistent link: https://www.econbiz.de/10010289719
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On the nature of shocks driving exchange rates in emerging economies
Kolev, Galina V. - 2015
The paper analyzes the sources of exchange rate movements in emerging economies in the context of monetary tapering by the Federal Reserve. A structural vector autoregression framework with a long-run restriction is used to decompose the movements of nominal ex-change rates into two components:...
Persistent link: https://www.econbiz.de/10011374055
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Large swings in currencies driven by fundamentals
Cumperayot, Phornchanok J.; Vries, Casper G. de - 2006
Exchange rate returns are fat-tailed distributed. We provide evidence that the apparent non-normality derives from the behavior of macroeconomic fundamentals. Economic and probabilistic arguments are offered for such a relationship. Empirical support is given by testing against normality and...
Persistent link: https://www.econbiz.de/10011349716