U.S. Dollar Dynamics : How Important Are Policy Divergence and FX Risk Premiums? /
We investigate the drivers of dynamics of major U.S. FX bilaterals. We first construct a novel measure of FX risk premiums using Consensus exchange rate forecasts. We then use VAR analysis to show that (i) risk premium shocks play a key role in driving dynamics of the major U.S. FX bilaterals; (ii)...
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| Tác giả khác: | , |
| Định dạng: | Tạp chí |
| Ngôn ngữ: | English |
| Được phát hành: |
Washington, D.C. :
International Monetary Fund,
2016.
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| Loạt: | IMF Working Papers; Working Paper ;
No. 2016/125 |
| Truy cập trực tuyến: | Full text available on IMF |