In Which Exchange Rate Models Do Forecasters Trust?

 
Author/Editor: Jaewoo Lee ; H. Takizawa ; David Hauner
 
Publication Date: May 01, 2011
 
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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
Frequency: Annually
Subject(s): Economic forecasting | Exchange rates | Forecasting models | Interest rate differential | Purchasing power parity

Author's Keyword(s): Exchange rate models | forecasting.
 
English
Publication Date: May 01, 2011
ISBN/ISSN: 9781455262397/1018-5941 Format: Paper
Stock No: WPIEA2011116 Pages: 17
Price:
US$18.00 (Academic Rate:
US$18.00 )
 
 
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