In Which Exchange Rate Models Do Forecasters Trust?

Author/Editor:

David Hauner ; H. Takizawa ; Jaewoo Lee

Publication Date:

May 1, 2011

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

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.

Series:

Working Paper No. 11/116

Subject:

Frequency:

Annually

English

Publication Date:

May 1, 2011

ISBN/ISSN:

9781455262397/1018-5941

Stock No:

WPIEA2011116

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

17

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