In Which Exchange Rate Models Do Forecasters Trust?

Using survey data of market expectations, we ask which popular exchange rate models appear to be consistent with expectation formation of market forecasters. Exchange rate expectations are found to be correlated with inflation differentials and productivity differentials, indicating that the relative PPP and Balassa-Samuelson effect are common inputs into expectation formation of market forecasters.

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Year of publication:	2011-05-01
Authors:	Lee, Jaewoo ; Takizawa, H. ; Hauner, David
Institutions:	International Monetary Fund (IMF)
Subject:	Economic forecasting \| Exchange rates \| Forecasting models \| Interest rate differential \| Purchasing power parity \| exchange rate \| inflation \| inflation rate \| exchange rate regime \| foreign exchange \| exchange rate expectations \| exchange rate changes \| current account balance \| real exchange rate \| exchange rate regimes \| nominal exchange rate \| exchange rate dynamics \| monetary policy \| currency risk \| flexible exchange rate regime \| nominal exchange rates \| fixed exchange rate \| flexible exchange rate \| exchange rate determination \| exchange rate economics \| exchange rate forecasting \| history of exchange rate \| fixed exchange rate regime \| foreign exchange rate \| euro exchange rate \| market exchange rate \| exchange rate volatility \| floating exchange rate regime \| relative price \| depreciating exchange rate \| floating exchange rate \| movements in exchange rates \| average inflation \| exchange rate appreciation \| current exchange rate \| exchange rate expectation \| exchange rate change \| fixed exchange rate regimes \| lower inflation \| currency markets \| exchange rate movements \| gdp deflator \| foreign exchange market \| real exchange rate dynamics \| average inflation rate \| exchange rate regime classification \| exchange rate arrangements \| fisher relation \| nominal interest rate \| nominal interest rates

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Extent:	application/pdf
Series:	IMF Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series IMF Working Papers Number 11/116 1 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009147326