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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP6648 |
DP6648 Higher Order Expectations in Asset Pricing | |
Philippe Bacchetta; Eric van Wincoop | |
发表日期 | 2008-01-18 |
出版年 | 2008 |
语种 | 英语 |
摘要 | Using novel real-time data on a broad set of economic fundamentals for five major US dollar exchange rates over the recent float, we employ a predictive procedure that allows the relationship between exchange rates and fundamentals to evolve over time in a very general fashion. Our key findings are that: (i) the well-documented weak out-of-sample predictive ability of exchange rate models may be caused by poor performance of model-selection criteria, rather than lack of information content in the fundamentals; (ii) the difficulty of selecting the best predictive model is largely due to frequent shifts in the set of fundamentals driving exchange rates, which can be interpreted as reflecting swings in market expectations over time. However, the strength of the link between exchange rates and fundamentals is different across currencies. |
主题 | International Macroeconomics |
关键词 | Economic fundamentals Exchange rates Forecasting |
URL | https://cepr.org/publications/dp6648 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535481 |
推荐引用方式 GB/T 7714 | Philippe Bacchetta,Eric van Wincoop. DP6648 Higher Order Expectations in Asset Pricing. 2008. |
条目包含的文件 | 条目无相关文件。 |
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