In Which Exchange Rate Models Do Forecasters Trust?
Electronic Access:
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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.
Series:
Working Paper No. 2011/116
Subject:
Currencies Exchange rate arrangements Exchange rate forecasting Exchange rates Foreign exchange Money Purchasing power parity
Frequency:
Annually
English
Publication Date:
May 1, 2011
ISBN/ISSN:
9781455262397/1018-5941
Stock No:
WPIEA2011116
Pages:
17
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