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Exchange rates and fundamentals
Engel, Charles; West, Kenneth D. - 2004
Persistent link: https://www.econbiz.de/10002205531
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Exchange rates and fundamentals
Engel, Charles; West, Kenneth D. - In: Journal of political economy 113 (2005) 3, pp. 485-517
Persistent link: https://www.econbiz.de/10002974256
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Exchange rates and fundamentals
Engel, Charles; West, Kenneth D. - 2003
Persistent link: https://www.econbiz.de/10001781818
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Exchange rates and fundamentals
West, Kenneth D.; Engel, Charles - 2003
Persistent link: https://www.econbiz.de/10001737800
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Exchange rates and fundamentals
Engel, Charles (contributor); West, Kenneth D. (contributor) - 2003
Persistent link: https://www.econbiz.de/10001820873
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Exchange Rates and Fundamentals
Engel, Charles M. - 2004
We show analytically that in a rational expectations present value model, an asset price manifests near random walk behavior if fundamentals are I(1) and the factor for discounting future fundamentals is near one. We argue that this result helps explain the well known puzzle that fundamental...
Persistent link: https://www.econbiz.de/10012785468
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Exchange Rates and Fundamentals
Engel, Charles - 2004
We show analytically that in a rational expectations present value model, an asset price manifests near random walk behavior if fundamentals are I(1) and the factor for discounting future fundamentals is near one. We argue that this result helps explain the well known puzzle that fundamental...
Persistent link: https://www.econbiz.de/10012467971
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Exchange Rates and Fundamentals : Is There a Role for Nonlinearities in Real Time?
Akdoğan, Kurmaş - 2016
We examine the predictive power of real time linear monetary models with possible nonlinear adjustment in forecast errors for the GBP/USD exchange rates. Real time revisions of UK and US monetary aggregates and output are significant; therefore the use of final data on fundamentals in...
Persistent link: https://www.econbiz.de/10012982733
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Econometric analysis of present value models when the discount factor is near one
West, Kenneth D. - In: Journal of Econometrics 171 (2012) 1, pp. 86-97
This paper develops asymptotic econometric theory to help understand data generated by a present value model with a … discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that … theory is quantitatively congruent with the modest departures from random walk behavior that are typically found and with …
Persistent link: https://www.econbiz.de/10010594955
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The Quanto Theory of Exchange Rates
Kremens, Lukas - 2017
We present a new, theoretically motivated, forecasting variable for exchange rates that is based on the prices of quanto index contracts, and show via panel regressions that the quanto forecast variable is a statistically and economically significant predictor of currency appreciation. We also...
Persistent link: https://www.econbiz.de/10012958740