The forward‐looking ability of the real exchange rate and its misalignment to forecast the economic performance and the stock market return
Author
Abstract
Suggested Citation
DOI: 10.1111/twec.12943
Download full text from publisher
References listed on IDEAS
- Charles Engel & Kenneth D. West, 2005.
"Exchange Rates and Fundamentals,"
Journal of Political Economy, University of Chicago Press, vol. 113(3), pages 485-517, June.
- Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Engel, Charles & West, Kenneth D., 2003. "Exchange rates and fundamentals," Working Paper Series 248, European Central Bank.
- Charles Engel & Kenneth D. West, 2004. "Exchange Rates and Fundamentals," NBER Working Papers 10723, National Bureau of Economic Research, Inc.
- Huizinga, John, 1987. "An empirical investigation of the long-run behavior of real exchange rates," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 27(1), pages 149-214, January.
- Engel, Charles, 2014.
"Exchange Rates and Interest Parity,"
Handbook of International Economics, in: Gopinath, G. & Helpman, . & Rogoff, K. (ed.), Handbook of International Economics, edition 1, volume 4, chapter 0, pages 453-522,
Elsevier.
- Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
- Blanchard, Olivier J, 1981. "Output, the Stock Market, and Interest Rates," American Economic Review, American Economic Association, vol. 71(1), pages 132-143, March.
- Lucio Sarno, 2005.
"Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 38(3), pages 673-708, August.
- Lucio Sarno, 2005. "Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?," Canadian Journal of Economics, Canadian Economics Association, vol. 38(3), pages 673-708, August.
- Malliaropulos, Dimitrios, 1998.
"International stock return differentials and real exchange rate changes,"
Journal of International Money and Finance, Elsevier, vol. 17(3), pages 493-511, June.
- Dimitrios Malliaropulos, "undated". "International stock return differentials and real exchange rate changes," CERF Discussion Paper Series 96-09, Economics and Finance Section, School of Social Sciences, Brunel University.
- M. Hashem Pesaran & Yongcheol Shin & Richard J. Smith, 2001. "Bounds testing approaches to the analysis of level relationships," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 289-326.
- Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia, 2005.
"Empirical exchange rate models of the nineties: Are any fit to survive?,"
Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1150-1175, November.
- Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia Pascual, 2002. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," NBER Working Papers 9393, National Bureau of Economic Research, Inc.
- Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia-Pascual, 2005. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Working Papers 122005, Hong Kong Institute for Monetary Research.
- Cheung, Yin-Wong & Chinn, Menzie David & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series qt12z9x4c5, Department of Economics, UC Santa Cruz.
- Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Center for International Economics, Working Paper Series qt5fc508pt, Center for International Economics, UC Santa Cruz.
- Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series qt5fc508pt, Department of Economics, UC Santa Cruz.
- Yin-Wong Cheung & Antonio I Garcia Pascual & Menzie David Chinn, 2004. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," IMF Working Papers 2004/073, International Monetary Fund.
- Cumby, Robert E. & Huizinga, John, 1991.
"The predictability of real exchange rate changes in the short and long run,"
Japan and the World Economy, Elsevier, vol. 3(1), pages 17-38, April.
- Robert E. Cumby & John Huizinga, 1990. "The Predictability of Real Exchange Rate Changes in the Short and Long Run," NBER Working Papers 3468, National Bureau of Economic Research, Inc.
- Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
- Mr. Ronald MacDonald & Mr. Peter B. Clark, 1998. "Exchange Rates and Economic Fundamentals: A Methodological Comparison of BEERs and FEERs," IMF Working Papers 1998/067, International Monetary Fund.
- Campbell, John Y & Shiller, Robert J, 1987.
"Cointegration and Tests of Present Value Models,"
Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," Cowles Foundation Discussion Papers 785, Cowles Foundation for Research in Economics, Yale University.
- Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
- John Y. Campbell & Robert J. Shiller, 1986. "Cointegration and Tests of Present Value Models," NBER Working Papers 1885, National Bureau of Economic Research, Inc.
- Charles Engel, 2016.
"Exchange Rates, Interest Rates, and the Risk Premium,"
American Economic Review, American Economic Association, vol. 106(2), pages 436-474, February.
- Charles Engel, 2015. "Exchange Rates, Interest Rates, and the Risk Premium," NBER Working Papers 21042, National Bureau of Economic Research, Inc.
- Nicholas Kaldor, 1939. "Speculation and Economic Stability," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 7(1), pages 1-27.
- Ronald MacDonald & Preethike Dias, 2007. "Behavioural equilibrium exchange rate estimates and implied exchange rate adjustments for ten countries," Working Papers 2007_12, Business School - Economics, University of Glasgow.
- Lucio Sarno & Maik Schmeling, 2014.
"Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 267-292, March.
- Sarno, Lucio & Schmeling, Maik, 2013. "Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective," CEPR Discussion Papers 9472, C.E.P.R. Discussion Papers.
- Mr. Ronald MacDonald & Mr. Luca A Ricci, 2003. "Estimation of the Equilibrium Real Exchange Rate for South Africa," IMF Working Papers 2003/044, International Monetary Fund.
- Hoffmann, Mathias & MacDonald, Ronald, 2009.
"Real exchange rates and real interest rate differentials: A present value interpretation,"
European Economic Review, Elsevier, vol. 53(8), pages 952-970, November.
- Mathias Hoffmann & Ronald MacDonald, 2009. "Real exchange rates and real interest rate differentials: a present value interpretation," IEW - Working Papers 404, Institute for Empirical Research in Economics - University of Zurich.
- Ronald Macdonald & Mark P. Taylor, 1993.
"The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium, and Forecasting,"
IMF Staff Papers, Palgrave Macmillan, vol. 40(1), pages 89-107, March.
- Mr. Ronald MacDonald & Mr. Mark P. Taylor, 1992. "The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium and Forecasting," IMF Working Papers 1992/034, International Monetary Fund.
- Mark, Nelson C, 1995. "Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability," American Economic Review, American Economic Association, vol. 85(1), pages 201-218, March.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Chunyi Lu & Zhuoqi Teng & Yu Gao & Renhong Wu & Md. Alamgir Hossain & Yuantao Fang, 2022. "Analysis of Early Warning of RMB Exchange Rate Fluctuation and Value at Risk Measurement Based on Deep Learning," Computational Economics, Springer;Society for Computational Economics, vol. 59(4), pages 1501-1524, April.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Chou, Yu-Hsi, 2018. "Understanding the sources of the exchange rate disconnect puzzle: A variance decomposition approach," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 267-287.
- Stijn Claessens & M Ayhan Kose, 2017.
"Asset prices and macroeconomic outcomes: a survey,"
BIS Working Papers
676, Bank for International Settlements.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: A survey," CAMA Working Papers 2017-76, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stijn Claessens & M. Ayhan Kose, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," Koç University-TUSIAD Economic Research Forum Working Papers 1718, Koc University-TUSIAD Economic Research Forum.
- Claessens,Stijn & Kose,Ayhan, 2017. "Asset prices and macroeconomic outcomes : a survey," Policy Research Working Paper Series 8259, The World Bank.
- Kose, M. Ayhan & Claessens, Stijn, 2017. "Asset Prices and Macroeconomic Outcomes: A Survey," CEPR Discussion Papers 12460, C.E.P.R. Discussion Papers.
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- Xie, Zixiong & Chen, Shyh-Wei, 2019. "Exchange rates and fundamentals: A bootstrap panel data analysis," Economic Modelling, Elsevier, vol. 78(C), pages 209-224.
- Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
- Mr. Tobias Adrian & Peichu Xie, 2020.
"The Non-U.S. Bank Demand for U.S. Dollar Assets,"
IMF Working Papers
2020/101, International Monetary Fund.
- Adrian, Tobias & Xie, Peichu, 2020. "The Non-U.S. Bank Demand for U.S. Dollar Assets," CEPR Discussion Papers 14437, C.E.P.R. Discussion Papers.
- Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
- Feng, Wenjun & Zhang, Zhengjun, 2023. "Currency exchange rate predictability: The new power of Bitcoin prices," Journal of International Money and Finance, Elsevier, vol. 132(C).
- Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010.
"Exchange rate forecasting, order flow and macroeconomic information,"
Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
- Dagfinn Rime & Lucio Sarno & Elvira Sojli, 2007. "Exchange rate forecasting, order flow and macroeconomic information," Working Paper 2007/02, Norges Bank.
- Sarno, Lucio & Rime, Dagfinn & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers.
- Niko Hauzenberger & Florian Huber, 2020.
"Model instability in predictive exchange rate regressions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 168-186, March.
- Hauzenberger, Niko & Huber, Florian, 2018. "Model instability in predictive exchange rate regressions," Working Papers in Economics 2018-8, University of Salzburg.
- Hauzenberger, Niko & Huber, Florian, 2018. "Model instability in predictive exchange rate regressions," Department of Economics Working Paper Series 276, WU Vienna University of Economics and Business.
- Niko Hauzenberger & Florian Huber, 2018. "Model instability in predictive exchange rate regressions," Department of Economics Working Papers wuwp276, Vienna University of Economics and Business, Department of Economics.
- Niko Hauzenberger & Florian Huber, 2018. "Model instability in predictive exchange rate regressions," Papers 1811.08818, arXiv.org, revised Dec 2018.
- Barbara Rossi, 2013.
"Exchange Rate Predictability,"
Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
- Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona School of Economics.
- Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
- Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
- Levent KORAP, 2008.
"Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach,"
Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
- Levent, Korap, 2008. "Exchange rate determination of TL/US$: a co-integration approach," MPRA Paper 19659, University Library of Munich, Germany.
- Takashi Kano, 2021.
"Exchange Rates and Fundamentals: A General Equilibrium Exploration,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(1), pages 95-117, February.
- Kano, Takashi & 加納, 隆, 2019. "Exchange Rates and Fundamentals: A General Equilibrium Exploration," Discussion paper series HIAS-E-19, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Phornchanok Cumperayot & Casper G. de Vries, 2006. "Large Swings in Currencies driven by Fundamentals," Tinbergen Institute Discussion Papers 06-086/2, Tinbergen Institute.
- Jian Wang, 2005. "Can Long Horizon Data Beat Random Walk Under Engel-West Explanation?," International Finance 0501002, University Library of Munich, Germany.
- Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
- Bodo Herzog & Lana dos Santos, 2021. "Google Search in Exchange Rate Models: Hype or Hope?," JRFM, MDPI, vol. 14(11), pages 1-40, October.
- Bathia, Deven & Demirer, Riza & Gupta, Rangan & Kotzé, Kevin, 2021.
"Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data,"
Journal of Multinational Financial Management, Elsevier, vol. 61(C).
- Deven Bathia & Riza Demirer & Rangan Gupta & Kevin Kotze, 2020. "Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data," Working Papers 202083, University of Pretoria, Department of Economics.
- Deven Bathia & Riza Demirer & Rangan Gupta & Kevin Kotze, 2020. "Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data," School of Economics Macroeconomic Discussion Paper Series 2020-01, School of Economics, University of Cape Town.
- Phornchanok Cumperayot & Roy Kouwenberg, 2021.
"The discount factor for expected fundamentals: Evidence from a panel of 25 exchange rates,"
International Economics, CEPII research center, issue 166, pages 167-176.
- Cumperayot, Phornchanok & Kouwenberg, Roy, 2021. "The discount factor for expected fundamentals: Evidence from a panel of 25 exchange rates," International Economics, Elsevier, vol. 166(C), pages 167-176.
- Piotr Wdowiński, 2011. "Model monetarny kursu równowagi złoty/euro: analiza kointegracyjna," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 3, pages 67-86.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:worlde:v:43:y:2020:i:10:p:2723-2741. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0378-5920 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.