Using survey expectations data and Markov-switching models, this paper evaluates the characteristics and evolution of investors’ forecast errors about the yen/dollar exchange rate. Since our model is derived from the uncovered interest rate parity (UIRP) condition and our data cover a...

Using survey expectations data and a variant of the uncovered interest rate parity (UIRP), this paper evaluates the relationship between interest rates and investors' forecast errors about the yen/dollar exchange rate. This study therefore is related to the forward premium puzzle and the...

This paper empirically examines the long-run relationship between real exchange rates and real interest rate (RERI) differentials over the recent floating exchange rate period. A panel cointegration estimator is applied to a data set of 14 industrialized countries. In contrast to much other...

This paper empirically examines the long-run relationship between real exchange rates and real interest rate (RERI) differentials over the recent floating exchange rate period. A panel cointegration estimator is applied to a data set of 14 industrialized countries. In contrast to much other...

This paper empirically examines the long-run relationship between real exchange rates and real interest rate differentials over the recent floating exchange rate period, using a panel cointegration method, with data for a set of industrialized countries. The paper finds evidence of statistically...

Using survey expectations data and Markov-switching models, this paper evaluates the characteristics and evolution of investors' forecast errors about the yen/dollar exchange rate. Since our model is derived from the uncovered interest rate parity (UIRP) condition and our data cover a period of...