scholarly journals Exchange Rates, Macroeconomic Fundamentals and Risk Aversion

2011 ◽  
Author(s):  
Jose Olmo ◽  
Ricardo Laborda Herrero
Keyword(s):  
Risk Aversion ◽  
Exchange Rates ◽  
Macroeconomic Fundamentals

scholarly journals Effective Exchange Rates in Central and Eastern European Countries: Cyclicality and Relationship with Macroeconomic Fundamentals

2015 ◽  
Vol 15 (2) ◽  
pp. 157-177 ◽  
Author(s):  
Daniel Stavárek ◽  
Cynthia Miglietti
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Flexible Exchange Rate ◽  
European Countries ◽  
Eastern European ◽  
Macroeconomic Fundamentals ◽  
Effective Exchange ◽  
Exchange Rate Arrangements ◽  
Eastern European Countries

Abstract This paper examines the evolution of effective exchange rates in nine Central and Eastern European countries in terms of development trends, volatility and cyclicality. Consequently, it provides direct empirical evidence on the nature of the relationship between effective exchange rates and selected macroeconomic fundamentals, addressing a key precondition of numerous exchange rate determination models and theories that attempt to explain the role of exchange rates in the economy. The results suggest that flexible exchange rate arrangements are reflected in both nominal and real effective exchange rates having higher volatility and variability. Furthermore, the results provide mixed evidence in terms of intensity, direction and cyclicality, but show a weak correlation between exchange rates and fundamentals. Sufficiently high coefficients are found only for money supply. Consequently, using fundamentals for the determination of exchange rates and using the exchange rate to explain economic development may be of limited use for the countries analyzed.

scholarly journals Unobservable Monetary Policy Surprises and Exchange Rates

2021 ◽  
Vol 10 (1) ◽  
pp. 11
Author(s):  
Vahid Gholampour
Keyword(s):  
Monetary Policy ◽  
Exchange Rates ◽  
Term Structure ◽  
Negative Relationship ◽  
Policy Statement ◽  
Information Channel ◽  
Macroeconomic Fundamentals ◽  
Effect Of Monetary Policy ◽  
Safe Haven Currency ◽  
The U.S

The paper examines the effect of monetary policy statement shocks on exchange rates. I use Google's Natural Language tools to measure and track changes in the sentiment of FOMC and ECB post-meeting statements. The results reveal a negative relationship between the dollar's value and FOMC statement shocks. Investors sell (buy) the dollar when the sentiment of the FOMC statement is more positive (negative) than the previous one. This negative relationship could be explained by the special status of the U.S. dollar as a safe-haven currency and the significant effect of U.S. monetary policy on other countries' macroeconomic fundamentals. The value of the euro is positively related to ECB statement shocks. The size of the exchange rate response to statement shocks is comparable to that of term structure shocks. There is no material difference between the response of exchange rates in conventional and unconventional times. Statement shocks affect the exchange rates through the information channel.

Herdenverhalten von Wechselkursprognostikern? / Herd Behavior of Exchange Rate Forecasters?

2010 ◽  
Vol 230 (4) ◽  
Author(s):  
Christian Pierdzioch ◽  
Georg Stadtmann
Keyword(s):  
Exchange Rate ◽  
Standard Model ◽  
Exchange Rates ◽  
Survey Data ◽  
Foreign Exchange ◽  
Exchange Rate Volatility ◽  
Foreign Exchange Rate ◽  
Herd Behavior ◽  
Macroeconomic Fundamentals

SummaryExchange rates have been found to be more volatile than underlying macroeconomic fundamentals. Researchers have argued that the empirically observed high exchange-rate volatility may result from herd behavior of foreign-exchange traders and forecasters. We sketch a standard model that illustrates that herd behavior of foreign-exchange-rate forecasters may be rational. We then use survey data to test for herd behavior of forecasters. Our results suggest that exchange-rate-forecasters anti-herd and “lean against the wind” when forecasting exchange rates.

Sign in / Sign up

Export Citation Format

Share Document