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The contribution of economic fundamentals to movements in exchange rates · Study

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ArticleThe contribution of economic fundamentals to movements in exchange rates

Nathan S. Balke2012

OA

Articlegreen2012

The contribution of economic fundamentals to movements in exchange rates

Nathan S. Balke · Jun Ma · Mark E. Wohar

67 citations·0/0 files stored·Journal of International Economics

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

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References

1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems 1983Empirical exchange rate models of the seventies 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 1996The Purchasing Power Parity Puzzle 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 2000State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications 1996The forward discount anomaly and the risk premium: A survey of recent evidence 1995Exchange rates and fundamentals: Evidence on long-horizon predictability

Cited by

2020Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach 2017Does investor attention matter? The attention-return relationships in FX markets 2018Our currency, your attention: Contagion spillovers of investor attention on currency returns 2017Investor attention and currency performance: international evidence 2015Revisiting the relationship between exchange rates and fundamentals

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2018Exchange rates and fundamentals: A bootstrap panel data analysisarticle · 18 shared references 2013Exchange Rates and Interest Parityreport · 15 shared references 2012Macro Approaches to Foreign Exchange Determinationother · 14 shared references 2015Revisiting the relationship between exchange rates and fundamentalsarticle · 11 shared references 2017FACTOR MODELS AND TIME‐VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEYarticle · 11 shared references 2019On the cross-sectional relation between exchange rates and future fundamentalsarticle · 11 shared references

Details

Year2012

Typearticle

Published2012-10-26

VenueJournal of International Economics

ISSN-L0022-1996

Languageen

Citations67

Files0 public / 0

ShelfMonetary Policy and Economic Impact

Identifiers

doi10.1016/j.jinteco.2012.10.003

openalex_workW2069342013

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2015Factors of the Term Structure of Sovereign Yield Spreads

2016Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations

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