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On The Unstable Relationship Between Exchange Rates And Macroeconomic Fundamentals
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Book Synopsis On the Unstable Relationship Between Exchange Rates and Macroeconomic Fundamentals by : Philippe Bacchetta
Download or read book On the Unstable Relationship Between Exchange Rates and Macroeconomic Fundamentals written by Philippe Bacchetta and published by . This book was released on 2009 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is well known from anecdotal, survey and econometric evidence that the relationship between the exchange rate and macro fundamentals is highly unstable. This could be explained when structural parameters are known and very volatile, neither of which seems plausible. Instead we argue that large and frequent variations in the relationship between the exchange rate and macro fundamentals naturally develop when structural parameters in the economy are unknown and change very slowly. We show that the reduced form relationship between exchange rates and fundamentals is driven not by the structural parameters themselves, but rather by expectations of these parameters. These expectations can be highly unstable as a result of perfectly rational "scapegoat" effects. This happens when parameters can potentially change much more in the long run than the short run. This generates substantial uncertainty about the level of parameters, even though monthly or annual changes are small. This mechanism can also be relevant in other contexts of forward looking variables and could explain the widespread evidence of parameter instability found in macroeconomic and financial data. Finally, we show that parameter instability has remarkably little effect on the volatility of exchange rates, the in-sample explanatory power of macro fundamentals and the ability to forecast out of sample.
Book Synopsis The Relationship Between Exchange Rates and Macroeconomic Fundamentals by : Suteera Tanakitkosed
Download or read book The Relationship Between Exchange Rates and Macroeconomic Fundamentals written by Suteera Tanakitkosed and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Unstable Relationship Between Exchange Rates and Amacroeconomic Fundamentals by : Philippe Bacchetta
Download or read book On the Unstable Relationship Between Exchange Rates and Amacroeconomic Fundamentals written by Philippe Bacchetta and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Fundamental Connection by : Vania Stavrakeva
Download or read book A Fundamental Connection written by Vania Stavrakeva and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents new stylized facts about exchange rates and their relationship with macroeconomic fundamentals. We show that macroeconomic surprises explain a large majority of the variation in nominal exchange rate changes at a quarterly frequency. Using a novel present value decomposition of exchange rate changes that is disciplined with survey forecast data, we show that macroeconomic surprises are also a very important driver of the currency risk premium component and explain about half of its variation. These surprises have even greater explanatory power during economic downturns and periods of financial uncertainty.
Book Synopsis Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals by : Lorenzo Pozzi
Download or read book Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals written by Lorenzo Pozzi and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Fixing Exchange Rates by : Robert P. Flood
Download or read book Fixing Exchange Rates written by Robert P. Flood and published by . This book was released on 1993 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fixed exchange rates are less volatile than floating rates. The volatility of macroeconomic variables, such as money and output, does not change very much across exchange rate regimes, however. This suggests that exchange rate models based only on macroeconomic fundamentals are unlikely to be very successful. It also suggests that there is no clear trade-off between reduced exchange rate volatility and macroeconomic stability.
Book Synopsis Reconsidering the Basic Relationships Between Exchange Rates, Exchange Rate Expectations and Macroeconomic Fundamentals by : Michael D. Goldberg
Download or read book Reconsidering the Basic Relationships Between Exchange Rates, Exchange Rate Expectations and Macroeconomic Fundamentals written by Michael D. Goldberg and published by . This book was released on 1991 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rates and Macroeconomic Fundamentals by : Robert-Paul Berben
Download or read book Exchange Rates and Macroeconomic Fundamentals written by Robert-Paul Berben and published by . This book was released on 1970 with total page 189 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Interrelationship Among Macroeconomic Fundamentals, Foreign Exchange Rates, and Stock Prices by : Chien-Chung Nieh
Download or read book The Interrelationship Among Macroeconomic Fundamentals, Foreign Exchange Rates, and Stock Prices written by Chien-Chung Nieh and published by . This book was released on 1996 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders by : Yin-Wong Cheung
Download or read book Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders written by Yin-Wong Cheung and published by . This book was released on 1999 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: We report findings from a survey of United States foreign exchange traders. Our results indicate that (i) technical trading best characterizes about 30% of traders, with this proportion rising from five years ago; (ii) news about macroeconomic variables is rapidly incorporated into exchange rates; (iii) the importance of individual macroeconomic variables shifts over time, although interest rates always appear to be important, and; (iv) economic fundamentals are perceived to be more important at longer horizons. The short run deviations of exchange rates from their fundamentals are attributed to excess speculation and institutional customer/hedge fund manipulation. Speculation is generally viewed positively, as enhancing market efficiency and liquidity, even though it exacerbates volatility. Central bank intervention does not appear to have a substantial effect, although there is general agreement that it increases volatility. Finally, traders do not view purchasing power parity as a useful concept, even though a significant proportion (40%) believe that it affects exchange rates at horizons of over six months.
Book Synopsis Exchange Rate Economics by : Ronald MacDonald
Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: ''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""
Book Synopsis Exchange Rates and Macroeconomic Fundamentals by : Eric Hillebrand
Download or read book Exchange Rates and Macroeconomic Fundamentals written by Eric Hillebrand and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Macroeconomic Fundamentals and the DM/$ Exchange Rate by : Michael D. Goldberg
Download or read book Macroeconomic Fundamentals and the DM/$ Exchange Rate written by Michael D. Goldberg and published by . This book was released on 2001 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange-rate Determination by : Eelke de Jong
Download or read book Exchange-rate Determination written by Eelke de Jong and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Exchange Rate Dynamics by : Jean-OIiver Hairault
Download or read book Exchange Rate Dynamics written by Jean-OIiver Hairault and published by Routledge. This book was released on 2003-12-18 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important new book builds upon the seminal work by Obsfeld and Rogoff, Foundations of International Macroeconomics and aims at providing a coherent and modern framework for thinking about exchange rate dynamics. With a wide range of contributions, this book is likely to be welcomed by the macroeconomics and financial community.
Book Synopsis Exchange Rates and Economic Fundamentals by : Mr. Steven A. Symansky
Download or read book Exchange Rates and Economic Fundamentals written by Mr. Steven A. Symansky and published by International Monetary Fund. This book was released on 1994-09-15 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper summarizes the methods and types of indicators that are often employed, both insid and outside the IMF, to assess whether exchange rates are broadly in line with economic fundamentals.
Book Synopsis Exchange rates and economic fundamentals by : Peter Clark [and three others]
Download or read book Exchange rates and economic fundamentals written by Peter Clark [and three others] and published by . This book was released on with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
