What determines the exchange rate: economic factors or market sentiment?

Gregory P. Hopper

29 citations0/0 files storedRePEc: Research Papers in Economics

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Global Financial Crisis and Policies

Abstract

Do economic factors influence exchange rates? Or does market sentiment play a bigger role? Are short-run exchange rates predictable? Greg Hopper reviews exchange-rate economics, focusing on what is predictable and what isn't. He also examines the practical implications of exchange-rate theories for currency option pricing, risk management, and portfolio selection.

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1976Expectations and Exchange Rate Dynamics 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1993Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures 2003The Economics of Exchange Rates 1995The Mirage of Fixed Exchange Rates 1977A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence

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2020Investor sentiment and dollar-pound exchange rate returns: Evidence from over a century of data using a cross-quantilogram approach

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