| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9472 |
| 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 |
| URL | https://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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