IMF Working Papers

In Which Exchange Rate Models Do Forecasters Trust?

By Jaewoo Lee, H. Takizawa, David Hauner

May 1, 2011

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Jaewoo Lee, H. Takizawa, and David Hauner. In Which Exchange Rate Models Do Forecasters Trust?, (USA: International Monetary Fund, 2011) accessed October 10, 2024
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.

Subject: Currencies, Exchange rate arrangements, Exchange rate forecasting, Exchange rates, Foreign exchange, Money, Purchasing power parity

Keywords: Currencies, Depreciating exchange rate, Euro exchange rate, Exchange rate appreciation, Exchange rate arrangements, Exchange rate expectation, Exchange rate forecasting, Exchange rate models, Exchange rate movement, Exchange rate regime classification, Exchange rates, Expected exchange rate change, Forecasting, GDP, Interest rate, Interest rate differential, Nominal exchange rate, Purchasing power parity, WP

Publication Details

  • Pages:

    17

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2011/116

  • Stock No:

    WPIEA2011116

  • ISBN:

    9781455262397

  • ISSN:

    1018-5941