In Which Exchange Rate Models Do Forecasters Trust? /

Using survey data of market expectations, we ask which popular exchange rate models appear to be consistent with expectation formation of market forecasters. Exchange rate expectations are found to be correlated with inflation differentials and productivity differentials, indicating that the relativ...

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Détails bibliographiques
Auteur principal: Lee, Jaewoo
Autres auteurs: Hauner, David, Takizawa, H.
Format: Revue
Langue:English
Publié: Washington, D.C. : International Monetary Fund, 2011.
Collection:IMF Working Papers; Working Paper ; No. 2011/116
Accès en ligne:Full text available on IMF
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520 3 |a Using survey data of market expectations, we ask which popular exchange rate models appear to be consistent with expectation formation of market forecasters. Exchange rate expectations are found to be correlated with inflation differentials and productivity differentials, indicating that the relative PPP and Balassa-Samuelson effect are common inputs into expectation formation of market forecasters. 
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700 1 |a Takizawa, H. 
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