Add to ORKGEmpirical evidence shows that observed macroeconomic fundamentals have little explanatory power for nominal exchange rates (the exchange rate determination puzzle). On the other hand, the recent \microstructure approach to exchange rates " has shown that most exchange rate volatility at short to medium horizons is related to order flow. In this paper we introduce symmetric information dispersion about future fundamentals in a dynamic rational expectations model in order to explain these stylized facts. Consistent with the evidence the model implies that (i) observed fundamentals account for little of exchange rate volatility in the short to medium run, (ii) over long horizons the exchange rate is closely related to observed fundamental...
We propose a critical review of recent developments in exchange rate economics. This new strand of r...
Standard economic models hold that exchange rates are influenced by fundamental variables such as re...
In this paper I test the hypothesis that expectations of exchange rate movements are formed rational...
Empirical evidence shows that most exchange rate volatility at short to medium horizons is related t...
Empirical evidence shows that observed macroeconomic fundamentals have little explanatory power for ...
Empirical evidence shows that macroeconomic fundamentals have little explanatory power for nominal e...
This paper addresses the striking ability of transaction flows to explain exchange rate movements. S...
While empirical evidence finds only a weak relationship between nominal exchange rates and macroecon...
We address whether transaction ows in foreign exchange markets convey fundamental information. Our G...
We develop a nonlinear exchange rate model with heterogeneous agents. Some agents adopt a "fundament...
This thesis aims to examine a number of issues related to exchange rate movements at different time ...
This paper investigates the empirical relation between order flow and macroeconomic information in t...
"This paper examines heterogeneity in exchange rate expectations. Whereas agents’ heterogeneity is k...
This thesis aims to examine a number of issues related to exchange rate movements at different time ...
This paper investigates the empirical relation between order flow and macroeconomic information in t...
We propose a critical review of recent developments in exchange rate economics. This new strand of r...
Standard economic models hold that exchange rates are influenced by fundamental variables such as re...
In this paper I test the hypothesis that expectations of exchange rate movements are formed rational...
Empirical evidence shows that most exchange rate volatility at short to medium horizons is related t...
Empirical evidence shows that observed macroeconomic fundamentals have little explanatory power for ...
Empirical evidence shows that macroeconomic fundamentals have little explanatory power for nominal e...
This paper addresses the striking ability of transaction flows to explain exchange rate movements. S...
While empirical evidence finds only a weak relationship between nominal exchange rates and macroecon...
We address whether transaction ows in foreign exchange markets convey fundamental information. Our G...
We develop a nonlinear exchange rate model with heterogeneous agents. Some agents adopt a "fundament...
This thesis aims to examine a number of issues related to exchange rate movements at different time ...
This paper investigates the empirical relation between order flow and macroeconomic information in t...
"This paper examines heterogeneity in exchange rate expectations. Whereas agents’ heterogeneity is k...
This thesis aims to examine a number of issues related to exchange rate movements at different time ...
This paper investigates the empirical relation between order flow and macroeconomic information in t...
We propose a critical review of recent developments in exchange rate economics. This new strand of r...
Standard economic models hold that exchange rates are influenced by fundamental variables such as re...
In this paper I test the hypothesis that expectations of exchange rate movements are formed rational...