Exchange Rates and Fundamentals: Footloose or Evolving Relationship?

By Lucio Sarno, Giorgio Valente. 2009

170 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/36122e258c6cb5538c7f72f07d41666d104e5a9a

Citations in the corpus

• The Scapegoat Theory of Exchange Rates: The First Tests (2014, unknown): “233 Appropriate benchmarks for our time-varying parameter scapegoat models also need to be models 234 that account for parameter instability, which may be rationalized on a number of grounds (e.g. see 235 Schinasi and Swamy, 1989; Rossi, 2005, 2006; Mark, 2009; Sarno and Valente, 2009).”
• On the unstable relationship between exchange rates and macroeconomic fundamentals (2013, unknown): “Sarno and Valente (2008) nd that \(exchange rate) models that optimally use the information in the fundamentals change often and this implies frequent shifts in the parameters".”
• Advances in Forecasting Under Instability (2012, unknown): “Sarno and Valente (2009) consider forecasting ve major U.S. dollar exchange rates using a time-varying coe¢ cient model.”