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The scapegoat theory of exchange rates: the first tests

Fratzscher, Marcel; Sarno, Lucio; Zinna, Gabriele - 2012

This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...

Persistent link: https://www.econbiz.de/10011605463

Testing the asset pricing model of exchange rates with survey data

Naszodi, Anna - 2010

This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some alternative models. The asset pricing model is...

Persistent link: https://www.econbiz.de/10011605246

US shocks and global exchange rate configurations

Fratzscher, Marcel - 2007

The paper analyses the heterogeneity in the link between macroeconomic fundamentals and exchange rates. For a set of … exchange rate configurations over the past 25 years. Despite a significant decline over time, this heterogeneity remains high … effective US dollar exchange rate. The paper finds that this heterogeneity is not only due to policy choices of inflexible …

Persistent link: https://www.econbiz.de/10011604881

Foreign currency exposure and the financial channel of exchange rates

Anaya, Pablo - 2022

Exchange rate movements affect the economy through changes in net exports, i.e. the trade channel, and through valuation changes in assets and liabilities denominated in foreign currencies, i.e. the financial channel. In this paper, I investigate the macroeconomic and financial effects of U.S....

Persistent link: https://www.econbiz.de/10014278274

Attention to the tail(s): Global financial conditions and exchange rate risks

Eguren-Martin, Fernando; Sokol, Andrej - 2020

We document how the distribution of exchange rate returns responds to changes in global financial conditions. We measure global financial conditions as the common component of country-specific financial condition indices, computed consistently across a large panel of developed and emerging...

Persistent link: https://www.econbiz.de/10012422049

Dominant currencies and the export supply channel

Frohm, Erik - 2021

an increase in the number of exporting firms (the extensive margin). (3), there is substantial heterogeneity in the …

Persistent link: https://www.econbiz.de/10012605276

Exchange rates and fundamentals

Engel, Charles; West, Kenneth D. - 2003

in a rational expectations present value model, an asset price manifests near random walk behavior if fundamentals are I …

Persistent link: https://www.econbiz.de/10011604294

Exchange rates and fundamentals: new evidence from real-time data

Ehrmann, Michael; Fratzscher, Marcel - 2004

This paper analyses the link between economic fundamentals and exchange rates by investigating the importance of real-time data. We find that such economic news in the United States, Germany and the euro area have indeed been a driving force behind daily US dollar – euro/DEM exchange rate...

Persistent link: https://www.econbiz.de/10011604411

Do financial market variables show (symmetric) indicator properties relative to exchange rate returns?

Castrén, Olli - 2004

This paper assesses the contemporaneous, leading and lagging indicator properties of financial market variables relative to movements in six major developed country currency pairs. As indicator variables changes in various relative asset prices, short-term portfolio flows and currency options...

Persistent link: https://www.econbiz.de/10011604425

Exchange rate forecasting on a napkin

Ca' Zorzi, Michele; Rubaszek, Michał - 2018

This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...

Persistent link: https://www.econbiz.de/10011916855