G2TT
来源类型Discussion paper
规范类型论文
来源IDDP9472
DP9472 Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective
LUCIO SARNO; Maik Schmeling
发表日期2013-05-12
出版年2013
语种英语
摘要Standard present-value models suggest that exchange rates are driven by expected future fundamentals, implying that exchange rates contain information about future fundamentals. We test this key empirical prediction of present-value models in a sample of 35 currency pairs ranging from 1900 to 2009. Employing a variety of tests, we find that exchange rates have strong and significant predictive power for nominal fundamentals (inflation, money balances, nominal GDP), whereas predictability of real fundamentals and risk premia is much weaker and largely confined to the post-Bretton Woods era. Overall, we uncover ample evidence that future macro fundamentals drive current exchange rates.
主题International Macroeconomics
关键词Exchange rates Economic fundamentals Forecasting Present value model
URLhttps://cepr.org/publications/dp9472
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/538307
推荐引用方式
GB/T 7714
LUCIO SARNO,Maik Schmeling. DP9472 Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective. 2013.
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