In Which Exchange Rate Models Do Forecasters Trust? [electronic resource] / Jaewoo Lee.
Material type:
TextSeries: IMF Working Papers; Working Paper ; No. 11/116Publication details: Washington, D.C. : International Monetary Fund, 2011Description: 1 online resource (17 p.)ISBN: 1455262390 :ISSN: 1018-5941Subject(s): Current Account | Exchange Rate Models | Exchange Rate Regime | Exchange Rate | Exchange Rates | Interest Rate | Brazil | Bulgaria | Egypt | Nigeria | TurkeyAdditional physical formats: Print Version:: In Which Exchange Rate Models Do Forecasters Trust?Online resources: IMF e-Library | IMF Book Store Abstract: Using survey data of market expectations, we ask which popular exchange rate models appear to be consistent with expectation formation of market forecasters. Exchange rate expectations are found to be correlated with inflation differentials and productivity differentials, indicating that the relative PPP and Balassa-Samuelson effect are common inputs into expectation formation of market forecasters.
Using survey data of market expectations, we ask which popular exchange rate models appear to be consistent with expectation formation of market forecasters. Exchange rate expectations are found to be correlated with inflation differentials and productivity differentials, indicating that the relative PPP and Balassa-Samuelson effect are common inputs into expectation formation of market forecasters.
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