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Fundamental determinants of exchange rate expectations

Beckmann, Joscha; Czudaj, Robert - 2022

This paper provides a new perspective on the exchange rate disconnect puzzle by referring to the expectations building … mechanism in foreign exchange markets. We analyze the role of expectations regarding macroeconomic fundamentals for expected … expectations regarding GDP growth, inflation, interest rates, and current accounts. Our empirical findings show that fundamentals …

Persistent link: https://www.econbiz.de/10012990178

Fundamental determinants of exchange rate expectations

Beckmann, Joscha; Czudaj, Robert - 2020

This paper provides a new perspective on the exchange rate disconnect puzzle by referring to the expectations building … mechanism in foreign exchange markets. Therefore, we analyze the role of expectations regarding macroeconomic fundamentals for … expected exchange rate changes. In doing so, we assess data for 31 economies from 2002 to 2017 and consider expectations …

Persistent link: https://www.econbiz.de/10012435503

Back to gold : sterling in 1925

Gerlach, Stefan; Kugler, Peter - 2015

Expectations of Sterling returning to Gold have been disregarded in empirical work on the US dollar - Sterling exchange …

Persistent link: https://www.econbiz.de/10011336495

Purchasing Power Parity and Heterogenous Mean Reversion

Koedijk, Kees; Tims, Ben; Dijk, Mathijs A Van - C.E.P.R. Discussion Papers - 2006

heterogeneity in the speed of mean reversion across real exchange rates into account. We compare the performance of homogeneous and …

Persistent link: https://www.econbiz.de/10005792288

Nonlinear Exchange Rate Predictability

Suarez, Carlos Felipe Lopez; Lopez, Jose Antonio Rodriguez - Department of Economics, University of California-Irvine - 2008

We study whether the nonlinear behavior of the real exchange rate can help us account for the lack of predictability of the nominal exchange rate. We construct a smooth nonlinear error-correction model that allows us to test the hypotheses of nonlinear predictability of the nominal exchange rate...

Persistent link: https://www.econbiz.de/10004970929

Time to equilibrium in exchange rates: G-10 and Eastern European economies

Ho, Catherine S.F.; Ariff, M. - In: Global Finance Journal 23 (2012) 2, pp. 94-107

This paper reports different times-to-equilibrium for G-10 developed economies and the Eastern European emerging economies. By applying a novel method of value-weighted index to highly-trade-linked economies, we test the purchasing power parity to the full length of time-to-equilibrium. The...

Persistent link: https://www.econbiz.de/10010868618

The long-run validity of PPP in some major advanced and emerging countries using alternative models

Kyei-Mensah, Justice - In: Cogent Economics & Finance 11 (2023) 1, pp. 1-26

The study examines whether the long-run validity of PPP holds in some major advanced and developing economies. The study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology, and we are not aware of any study that has applied TVC...

Persistent link: https://www.econbiz.de/10015074790

The long-run validity of PPP in some major advanced and emerging countries using alternative models

Kyei-Mensah, Justice - In: Cogent economics & finance 11 (2023) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014500904

Net foreign assets, real exchange rates and net exports revisited

Bleaney, Michael F.; Tian, Mo - 2013

Theory suggests a significant positive relationship in long-run equilibrium between net foreign assets (NFA) as a proportion of GDP and real exchange rates. Empirical tests have ignored two issues: the large variation in cross-country trade/GDP ratios, which is likely to induce substantial...

Persistent link: https://www.econbiz.de/10009792044

On the nature of shocks driving exchange rates in emerging economies

Kolev-Schaefer, Galina - 2015

Persistent link: https://www.econbiz.de/10011283014