| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8812 |
| DP8812 The Scapegoat Theory of Exchange Rates: The First Tests | |
| LUCIO SARNO; Marcel Fratzscher; Gabriele Zinna | |
| 发表日期 | 2012-02-01 |
| 出版年 | 2012 |
| 语种 | 英语 |
| 摘要 | This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which are partly driven by unobservable shocks. Using novel survey data which directly measure foreign exchange scapegoats for 12 currencies and a decade of proprietary data on order flow, we find empirical evidence that strongly supports the empirical implications of the scapegoat theory of exchange rates, with the resulting models explaining a large fraction of the variation and directional changes in exchange rates. The findings have implications for exchange rate modelling, suggesting that a more accurate understanding of exchange rates requires taking into account the role of scapegoat factors and their time-varying nature. |
| 主题 | International Macroeconomics |
| 关键词 | Economic fundamentals Exchange rates Order flow Scapegoat Survey data |
| URL | https://cepr.org/publications/dp8812 |
| 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/537648 |
| 推荐引用方式 GB/T 7714 | LUCIO SARNO,Marcel Fratzscher,Gabriele Zinna. DP8812 The Scapegoat Theory of Exchange Rates: The First Tests. 2012. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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