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In Which Exchange Rate Models Do Forecasters Trust?
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Author/Editor: |
Hauner, David | Lee, Jaewoo | Takizawa, H. |
| Authorized for Distribution: |
May 1, 2011 |
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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.
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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.
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Order a print copy
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Series: |
Working Paper No. 11/116 |
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Subject(s): |
Economic forecasting | Exchange rates | Forecasting models | Interest rate differential | Purchasing power parity |
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Author's keyword(s): |
Exchange rate models
| forecasting.
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Published: |
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May 1, 2011 |
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Format: |
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Paper |
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Stock No: |
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WPIEA2011116 |
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Pages: |
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17 |
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Price: |
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US$18.00 (Academic Rate: US$18.00 )
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