Showing 1 - 10 of 117
This paper surveys recent theoretical and empirical contributions on foreign exchange rate determination. The paper first considers monetary models under uncovered interest parity and rational expectations. Then the paper considers deviations from UIP/rational expectations: foreign exchange risk...
Persistent link: https://www.econbiz.de/10012459325
The level of the (log of) the exchange rate seems to have strong forecasting power for dollar exchange rates against major currencies post-2000 at medium- to long-run horizons of 12-, 36- and 60-months. We find that this is true using conventional asymptotic statistics correcting for serial...
Persistent link: https://www.econbiz.de/10012482663
Persistent link: https://www.econbiz.de/10012491055
Standard models of exchange rates, based on macroeconomic variables such as prices, interest rates, output, etc., are thought by many researchers to have failed empirically. We present evidence to the contrary. First, we emphasize the point that "beating a random walk" in forecasting is too...
Persistent link: https://www.econbiz.de/10012465332
This chapter surveys recent theoretical and empirical contributions on foreign exchange rate determination. The chapter first examines monetary models under uncovered interest parity and rational expectations, and then considers deviations from UIP/rational expectations: foreign exchange risk...
Persistent link: https://www.econbiz.de/10014025378
Persistent link: https://www.econbiz.de/10014280840
Persistent link: https://www.econbiz.de/10003614275
This paper develops a view of exchange rate policy as a trade-off between the desire to smooth fluctuations in real exchange rates so as to reduce distortions in consumption allocations, and the need to allow flexibility in the nominal exchange rate so as to facilitate terms of trade adjustment....
Persistent link: https://www.econbiz.de/10003320659
Persistent link: https://www.econbiz.de/10003326101
This paper develops a view of exchange rate policy as a trade-off between the desire to smooth fluctuations in real exchange rates so as to reduce distortions in consumption allocations, and the need to allow flexibility in the nominal exchange rate so as to facilitate terms of trade adjustment....
Persistent link: https://www.econbiz.de/10012466453