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The Feeble Link between Exchange Rates and Fundamentals: Can We Blame the Discount Factor?
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Cited by:
- Kano, Takashi & Morita, Hiroshi, 2015.
"An equilibrium foundation of the Soros chart,"
Journal of the Japanese and International Economies, Elsevier, vol. 37(C), pages 21-42.
- Takashi Kano & Hiroshi Morita, 2014. "An Equilibrium Foundation of the Soros Chart," Working Papers e079, Tokyo Center for Economic Research.
- Kano, Takashi & 加納, 隆 & Morita, Hiroshi & 森田, 裕史, 2015. "An Equilibrium Foundation of the Soros Chart," Discussion Papers 2014-07, Graduate School of Economics, Hitotsubashi University.
- Dimitris Christopoulos & Miguel A. León-Ledesma, 2009. "On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think," Studies in Economics 0909, School of Economics, University of Kent.
- Balke, Nathan S. & Ma, Jun & Wohar, Mark E., 2013. "The contribution of economic fundamentals to movements in exchange rates," Journal of International Economics, Elsevier, vol. 90(1), pages 1-16.
- Gyntelberg, Jacob & Loretan, Mico & Subhanij, Tientip, 2018.
"Private information, capital flows, and exchange rates,"
Journal of International Money and Finance, Elsevier, vol. 81(C), pages 40-55.
- Mr. Jacob Gyntelberg & Mr. Subhanij Tientip & Mr. Mico Loretan, 2012. "Private Information, Capital Flows, and Exchange Rates," IMF Working Papers 2012/213, International Monetary Fund.
- Jacob Gyntelberg & Dr. Mico Loretan & Tientip Subhanij, 2015. "Private information, capital flows, and exchange rates," Working Papers 2015-12, Swiss National Bank.
- Jennifer Castle & Takamitsu Kurita, 2019. "Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks," Economics Series Working Papers 866, University of Oxford, Department of Economics.
- Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2010.
"Private information, stock markets, and exchange rates,"
BIS Papers chapters, in: Bank for International Settlements (ed.), The international financial crisis and policy challenges in Asia and the Pacific, volume 52, pages 186-210,
Bank for International Settlements.
- Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," Working Papers 2009-07, Monetary Policy Group, Bank of Thailand.
- Jacob Gyntelberg & Mico Loretan & Tientip Subhanij & Eric Chan, 2009. "Private information, stock markets, and exchange rates," BIS Working Papers 271, Bank for International Settlements.
- Castle, Jennifer L. & Kurita, Takamitsu, 2021. "A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
- Beckmann, Joscha & Czudaj, Robert, 2017.
"The impact of uncertainty on professional exchange rate forecasts,"
Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 296-316.
- Beckmann, Joscha & Czudaj, Robert, 2016. "The impact of uncertainty on professional exchange rate forecasts," Ruhr Economic Papers 637, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Hsing, Yu, 2016. "Comparison of the Fundamental and Monetary Models of the Determinants of the Argentine Peso/US Dollar Exchange Rate," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 69(4), pages 379-388.
- 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.
- Huang, Huichou & MacDonald, Ronald & Zhao, Yang, 2012. "Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs," MPRA Paper 53745, University Library of Munich, Germany, revised 18 Nov 2013.
- 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.
- Kharrat, Sabrine & Hammami, Yacine & Fatnassi, Ibrahim, 2020. "On the cross-sectional relation between exchange rates and future fundamentals," Economic Modelling, Elsevier, vol. 89(C), pages 484-501.
- Shiu‐Sheng Chen & Yu‐Hsi Chou, 2010. "Exchange Rates and Fundamentals: Evidence from Long‐Horizon Regression Tests," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(1), pages 63-88, February.
- Jamali, Ibrahim & Yamani, Ehab, 2019. "Out-of-sample exchange rate predictability in emerging markets: Fundamentals versus technical analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 241-263.
- Naszodi, Anna, 2010.
"Testing the asset pricing model of exchange rates with survey data,"
Working Paper Series
1200, European Central Bank.
- Anna Naszódi, 2011. "Testing the asset pricing model of exchange rates with survey data," MNB Working Papers 2011/2, Magyar Nemzeti Bank (Central Bank of Hungary).
- Phornchanok Cumperayot & Casper G. de Vries, 2006. "Large Swings in Currencies driven by Fundamentals," Tinbergen Institute Discussion Papers 06-086/2, Tinbergen Institute.
- Stijn Claessens & M Ayhan Kose, 2018. "Frontiers of macrofinancial linkages," BIS Papers, Bank for International Settlements, number 95.
- Fratzscher, Marcel & Rime, Dagfinn & Sarno, Lucio & Zinna, Gabriele, 2015.
"The scapegoat theory of exchange rates: the first tests,"
Journal of Monetary Economics, Elsevier, vol. 70(C), pages 1-21.
- Fratzscher, Marcel & Sarno, Lucio & Zinna, Gabriele, 2012. "The scapegoat theory of exchange rates: the first tests," Working Paper Series 1418, European Central Bank.
- Marcel Fratzscher & Lucio Sarno & Gabriele Zinna, 2013. "The Scapegoat Theory of Exchange Rates: The First Tests," Discussion Papers of DIW Berlin 1290, DIW Berlin, German Institute for Economic Research.
- Marcel Fratzscher & Dagfinn Rime & Lucio Sarno & Gabriele Zinna, 2014. "The scapegoat theory of exchange rates: the first tests," Temi di discussione (Economic working papers) 991, Bank of Italy, Economic Research and International Relations Area.
- Sarno, Lucio & Fratzscher, Marcel & Zinna, Gabriele, 2012. "The Scapegoat Theory of Exchange Rates: The First Tests," CEPR Discussion Papers 8812, C.E.P.R. Discussion Papers.
- 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.
- Takashi Kano, 2013.
"Exchange Rates and Fundamentals: Closing a Two-country Model,"
CAMA Working Papers
2013-62, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Kano, Takashi & 加納, 隆, 2014. "Exchange Rates and Fundamentals: Closing a Two-country Model," Discussion Papers 2013-07, Graduate School of Economics, Hitotsubashi University.
- Takashi Kano, 2013. "Exchange Rates and Fundamentals:Closing a Two-country Model," UTokyo Price Project Working Paper Series 011, University of Tokyo, Graduate School of Economics.
- Gholampour, Vahid, 2022. "Exchange rates and information about future fundamentals," Journal of International Money and Finance, Elsevier, vol. 127(C).
- Xie, Zixiong & Chen, Shyh-Wei, 2019. "Exchange rates and fundamentals: A bootstrap panel data analysis," Economic Modelling, Elsevier, vol. 78(C), pages 209-224.
- 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.
- 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.
- 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, 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.
- Stijn Claessens & M Ayhan Kose, 2017. "Asset prices and macroeconomic outcomes: a survey," BIS Working Papers 676, Bank for International Settlements.
- ter Ellen, Saskia & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2013. "Dynamic expectation formation in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 75-97.
- Anatolyev, Stanislav & Gospodinov, Nikolay & Jamali, Ibrahim & Liu, Xiaochun, 2017. "Foreign exchange predictability and the carry trade: A decomposition approach," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 199-211.
- Lorenzo Pozzi & Barbara Sadaba, 2017. "Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals," Staff Working Papers 17-22, Bank of Canada.