Fratzscher, Marcel; Rime, Dagfinn; Sarno, Lucio; Zinna, … - In: Journal of Monetary Economics 70 (2015) C, pp. 1-21
The scapegoat theory of exchange rates (Bacchetta and van Wincoop, 2004, 2013) suggests that market participants may … fluctuations at times when exchange rates are driven by unobservable shocks. Using novel survey data that directly measure foreign … exchange scapegoats for 12 exchange rates, we find empirical evidence that supports the scapegoat theory. The resulting models …