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A fundamental connection : exchange rates and macroeconomic expectations

Stavrakeva, Vania; Tang, Jenny - 2020 - This version: December 2020

This paper presents new stylized facts about exchange rates and their relationship with macroeconomic fundamentals. We show that macroeconomic surprises explain a large majority of the variation in nominal exchange rate changes at a quarterly frequency. Using a novel present value decomposition...

Persistent link: https://www.econbiz.de/10012429208

The movement of exchange rate and expected income : case of South Africa

Msomi, Simiso; Ngalawa, Harold - In: Journal of Economics and Financial Analysis 7 (2024) 2, pp. 65-89

Persistent link: https://www.econbiz.de/10014486904

Impact of macroeconomic announcements on foreign exchange volatility : evidence from South Africa

Maserumule, Tseke; Alagidede, Paul - In: The South African journal of economics 85 (2017) 3, pp. 405-429

Persistent link: https://www.econbiz.de/10011744010

Unconventional monetary policy and the dollar-euro exchange rate : first results from time-series analysis

Sosvilla-Rivero, Simón; Fernández-Fernández, Natalia - In: Applied economics letters 23 (2016) 10/12, pp. 732-735

Persistent link: https://www.econbiz.de/10011628471

Unconventional monetary policy and the dollar-euro exchange rate : further evidence from event studies

Sosvilla-Rivero, Simón; Fernández-Fernández, Natalia - In: Applied economics letters 23 (2016) 10/12, pp. 835-839

Persistent link: https://www.econbiz.de/10011628589

Testing for UIP : nonlinearities, monetary announcements and interest rate expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth … and stable rate. Also, central bank announcements have a more sizeable short-run effect in the nonlinear model. Finally …

Persistent link: https://www.econbiz.de/10012508617