+44 (0)1509 263171
Please use this identifier to cite or link to this item:
|Title: ||The contribution of economic fundamentals to movements in exchange rates|
|Authors: ||Balke, Nathan S.|
Wohar, Mark E.
|Keywords: ||Bayesian analysis|
Exchange rate decomposition
|Issue Date: ||2013|
|Publisher: ||© Elsevier B.V.|
|Citation: ||BALKE, N.S., MA, J,. and WOHAR, M.E., 2013. The contribution of economic fundamentals to movements in exchange rates. Journal of International Economics, 90, pp. 1 - 16|
|Abstract: ||Starting from the asset pricing approach of Engel and West, we examine the degree to which fundamentals can explain exchange rate fluctuations. We show that it is not possible to obtain sharp inferences about the relative contribution of fundamentals using only data on observed monetary fundamentals—money minus output differentials across countries—and exchange rates. We use additional data on interest rate and price differentials along with the implications of the monetary model of exchange rates to decompose exchange rate fluctuations. In general, we find that money demand shifts, along with observed monetary fundamentals, are an important contributor to exchange rate fluctuations.|
|Description: ||Closed access.|
|Publisher Link: ||http://dx.doi.org/10.1016/j.jinteco.2012.10.003|
|Appears in Collections:||Closed Access (Business)|
Files associated with this item:
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.