Add to ORKGStarting from the asset pricing approach of Engel and West, we examine the degree to which fundamentals can explain exchange rate fluctuations. We show that it is not possible to obtain sharp inferences about the relative contribution of fundamentals using only data on observed monetary fundamentals—money minus output differentials across countries—and exchange rates. We use additional data on interest rate and price differentials along with the implications of the monetary model of exchange rates to decompose exchange rate fluctuations. In general, we find that money demand shifts, along with observed monetary fundamentals, are an important contributor to exchange rate fluctuations
Using novel real-time data on a broad set of economic fundamentals for five major US dollar exchange...
This thesis aims to examine a number of issues related to exchange rate movements at different time ...
In this paper it is shown that relatively simple models are capable of generating exchange rate move...
Starting from the asset pricing approach of Engel and West, we examine the degree to which fundament...
The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy...
Standard economic models hold that exchange rates are influenced by fundamental variables such as re...
Meese and Rogoff (1983) first examined the dynamic relationship between exchange rates and monetary ...
In this paper, we demonstrate that there is evidence of an unstable and nonlinear relationship betwe...
We investigate the dynamic relationship between the U.S. dollar exchange rate and its fundamentals a...
We show analytically that in a rational expectations present value model, an asset price manifests n...
We investigate the dynamic relationship between the US dollar exchange rate and its fundamentals acr...
The paper takes a relatively novel approach to analysing the link between economic fundamentals and ...
Abstract: This paper tests the traditional monetary model of exchange rates for a sample of industri...
Empirical evidence shows that macroeconomic fundamentals have little explanatory power for nominal e...
A major puzzle in international finance is the well-documented inability of models based on monetary...
Using novel real-time data on a broad set of economic fundamentals for five major US dollar exchange...
This thesis aims to examine a number of issues related to exchange rate movements at different time ...
In this paper it is shown that relatively simple models are capable of generating exchange rate move...
Starting from the asset pricing approach of Engel and West, we examine the degree to which fundament...
The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy...
Standard economic models hold that exchange rates are influenced by fundamental variables such as re...
Meese and Rogoff (1983) first examined the dynamic relationship between exchange rates and monetary ...
In this paper, we demonstrate that there is evidence of an unstable and nonlinear relationship betwe...
We investigate the dynamic relationship between the U.S. dollar exchange rate and its fundamentals a...
We show analytically that in a rational expectations present value model, an asset price manifests n...
We investigate the dynamic relationship between the US dollar exchange rate and its fundamentals acr...
The paper takes a relatively novel approach to analysing the link between economic fundamentals and ...
Abstract: This paper tests the traditional monetary model of exchange rates for a sample of industri...
Empirical evidence shows that macroeconomic fundamentals have little explanatory power for nominal e...
A major puzzle in international finance is the well-documented inability of models based on monetary...
Using novel real-time data on a broad set of economic fundamentals for five major US dollar exchange...
This thesis aims to examine a number of issues related to exchange rate movements at different time ...
In this paper it is shown that relatively simple models are capable of generating exchange rate move...