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The contribution of economic fundamentals to movements in exchange rates
16 references·10 citing·38 second hop
The contribution of economic fundamentals to movements in exchange rates (2012)The contribution of economic fundamentals…NBER Macroeconomics Annual 2005 (2006)NBER Macroeconomics Annual 20…Exchange Rates and Fundamentals (2005)Exchange Rates and Fundamenta…Empirical exchange rate models of the nineties: Are any fit to survive? (2005)Empirical exchange rate model…Exchange Rates and Fundamentals (2004)Exchange Rates and Fundamenta…A Century of Purchasing-Power Parity (2002)A Century of Purchasing-Power…Nominal exchange rates and monetary fundamentals (2001)Nominal exchange rates and mo…State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications (2000)State-Space Models with Regim…The Purchasing Power Parity Puzzle (1996)The Purchasing Power Parity P…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)A Simple Estimator of Cointeg…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …British Historical Statistics (1988)British Historical StatisticsThe Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)On the Mark: A Theory of Floa…Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach (2020)Forecasting short-run exchang…On the cross-sectional relation between exchange rates and future fundamentals (2019)On the cross-sectional relati…Our currency, your attention: Contagion spillovers of investor attention on currency returns (2018)Our currency, your attention:…Exchange rates and fundamentals: A bootstrap panel data analysis (2018)Exchange rates and fundamenta…Investor attention and currency performance: international evidence (2017)Investor attention and curren…Does investor attention matter? The attention-return relationships in FX markets (2017)Does investor attention matte…Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations (2016)Explaining exchange rate anom…Revisiting the relationship between exchange rates and fundamentals (2015)Revisiting the relationship b…Factors of the Term Structure of Sovereign Yield Spreads (2015)Factors of the Term Structure…An equilibrium foundation of the Soros chart (2015)An equilibrium foundation of …Expectations and Exchange Rate Dynamics (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? 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this work references cited by second hop

References

  • 1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1996The Purchasing Power Parity Puzzle2,939 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 2000State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications1,153 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1979On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials955 cited
  • 2005Exchange Rates and Fundamentals808 cited
  • 1988British Historical Statistics807 cited
  • 2004Exchange Rates and Fundamentals723 cited
  • 2006NBER Macroeconomics Annual 2005718 cited
  • 2005Empirical exchange rate models of the nineties: Are any fit to survive?717 cited
  • 2002A Century of Purchasing-Power Parity424 cited

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  • 2001Nominal exchange rates and monetary fundamentals402 cited
  • Cited by

    • 2020Forecasting short-run exchange rate volatility with monetary fundamentals: A GARCH-MIDAS approach55 cited
    • 2017Does investor attention matter? The attention-return relationships in FX markets49 cited
    • 2018Our currency, your attention: Contagion spillovers of investor attention on currency returns30 cited
    • 2017Investor attention and currency performance: international evidence24 cited
    • 2015Revisiting the relationship between exchange rates and fundamentals23 cited
    • 2015Factors of the Term Structure of Sovereign Yield Spreads21 cited
    • 2015An equilibrium foundation of the Soros chart16 cited
    • 2016Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations16 cited
    • 2018Exchange rates and fundamentals: A bootstrap panel data analysis15 cited
    • 2019On the cross-sectional relation between exchange rates and future fundamentals12 cited