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Non-linearities in the relation between the exchange rate and its fundamentals

Altavilla, Carlo; De Grauwe, Paul - 2005

This paper investigates the relationship between the euro-dollar exchange rate and its underlying fundamentals. First, we develop a simple theoretical model in which chartists and fundamentalists interact. This model predicts the existence of different regimes, and thus nonlinearities in the...

Persistent link: https://www.econbiz.de/10010261347

On the nature of risk in the foreign exchange markets : evidence from the dollar- and the EMS-markets

De Grauwe, Paul - 1988

Persistent link: https://www.econbiz.de/10000751157

The impact of FX central bank intervention in a noise trading framework

Beine, Michel; De Grauwe, Paul; Grimaldi, Marianna - In: Journal of banking & finance 33 (2009) 7, pp. 1187-1195

Persistent link: https://www.econbiz.de/10003842244

Non-linearities in the relation between the exchange rate and its fundamentals

Altavilla, Carlo (contributor); De Grauwe, Paul (contributor) - 2005

Persistent link: https://www.econbiz.de/10003202226

The impact of FX central bank intervention in a noise trading framework

Beine, Michel (contributor); De Grauwe, Paul (contributor); … - 2005

In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a...

Persistent link: https://www.econbiz.de/10003113337