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Exchange Rate Dynamics and Forecast Errors about Persistently Trending Fundamentals
Stillwagon, Josh R. - Department of Economics, Trinity College - 2015
This paper offers and tests a unique explanation for the exchange rate determination puzzle. It is not that exchange rates are unrelated to fundamentals, but rather when fundamentals undergo persistent changes it becomes important to measure their effect in terms of how they change relative to...
Persistent link: https://www.econbiz.de/10011204531
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Models of Exchange Rate Expectations: Heterogeneous Evidence from Panel Data
Bénassy-Quéré, Agnès; Larribeau, Sophie; MacDonald, … - Centre d'études prospectives et d'informations … - 1999
Persistent link: https://www.econbiz.de/10005406535
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Information Rigidities and Exchange Rate Expectations
Beckmann, Joscha; Reitz, Stefan - 2018
Sluggish adjustment of expectations to new information is rational in an environment characterized by information costs … expectations using data from Consensus Economics for eight emerging and industrial economies from 1999 until 2015. Our results …
Persistent link: https://www.econbiz.de/10011892133
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Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?
Fatum, Rasmus; Scholnick, Barry - 2005
This paper shows that exchange rates respond to only the surprise component of an actual US monetary policy change and that failure to disentangle the surprise component from the actual monetary policy change can lead to an underestimation of the impact of monetary policy, or even to a false...
Persistent link: https://www.econbiz.de/10010320908
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Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations? Evidence from the Federal Funds Futures Market
Fatum, Rasmus; Scholnick, Barry - 2003
day-to-day changes in expectations of future US monetary policy, in the context of a study of day-to-day exchange rate … changes. We analyze more than 12 years of daily exchange rate data and show that continuous day-to-day changes in expectations …
Persistent link: https://www.econbiz.de/10010320954
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The impact of uncertainty on professional exchange rate forecasts
Beckmann, Joscha; Czudaj, Robert - 2016
This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for … the adjustment of exchange rate expectations. Our findings are robust to different forecasting horizons and point to an …
Persistent link: https://www.econbiz.de/10011533201
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The impact of uncertainty on professional exchange rate forecasts
Beckmann, Joscha; Czudaj, Robert - 2016
This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for … the adjustment of exchange rate expectations. Our findings are robust to different forecasting horizons and point to an …
Persistent link: https://www.econbiz.de/10011532311
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The Role of Endogenous Uncertainty in the Forward Discount Bias
Black, Stanley Wilkes - In: Rivista Internazionale di Scienze Sociali 115 (2007) 3, pp. 327-364
This study examines what role the concept of endogenous uncertainty can have in explaining a phenomenon of international financial markets, the forward discount bias. The forward discount bias puzzle is unexplained by models assuming economic agents have full knowledge of the structure of the...
Persistent link: https://www.econbiz.de/10010878167
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On the forecast accuracy and consistency of exchange rate expectations: The Spanish PwC Survey
Sosvilla-Rivero, Simón; Ramos-Herrera, Maria del Carmen - Asociación Española de Economía y Finanzas … - 2012
We examine the predictive ability and consistency properties of exchange rate expectations for the dollar/euro using a … forecasting ability for time horizons from 3 to 9 months, although only for the 3-month ahead expectations we obtain marginal … evidence of unbiasedness and efficiency in the forecasts. As for the consistency properties of the exchange rate expectations …
Persistent link: https://www.econbiz.de/10009650316
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The Extrapolative Component in Exchange Rate Expectations and the Not-So-Puzzling Interest Parity: The Case of Uruguay
Varela, Gonzalo - Department of Economics, School of Business, Management … - 2011
This paper analyses the importance attached to the past behaviour of the exchange rate when forming expectations and … a strong and time-varying extrapolative component in exchange rate expectations. Agents attach more importance to the …
Persistent link: https://www.econbiz.de/10009205039