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Exchange Rates and Fundamentals

16 references·16 citing·38 second hopsampled

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References

1980Macroeconomics and Reality12,826 cited
1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
1993A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems5,042 cited
1976Expectations and Exchange Rate Dynamics4,704 cited
1996The Purchasing Power Parity Puzzle2,939 cited
1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
1987Cointegration and Tests of Present Value Models2,160 cited
2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 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
2001Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles1,004 cited
1977A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence981 cited
1979On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials955 cited
1970Marginal Stockholder Tax Rates and the Clientele Effect892 cited

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2003

Why is it so difficult to beat the random walk forecast of exchange rates?

784 cited

1977The Exchange Rate, The Balance Of Payments and Monetary and Fiscal Policy Under A Regime of Controlled Floating480 cited

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2011Technical Analysis in the Foreign Exchange Market47 cited
2003Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?38 cited
2011Do Mood Swings Drive Business Cycles and is it Rational?35 cited
2005Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies33 cited
2008Exchange Rate Forecasting, Order Flow and Macroeconomic Information32 cited
2010What Does the Yield Curve Tell Us About Exchange Rate Predictability?30 cited
2011Identifying the Weights in Exchange Market Pressure28 cited
2008End-User Order Flow and Exchange Rate Dynamics28 cited
2010Model Misspecification, Learning and the Exchange Rate Disconnect Puzzle27 cited
2010International Risk Cycles25 cited
2015Price Level Changes and the Redistribution of Nominal Wealth Across the Euro Area18 cited
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