The Economics of Exchange Rates

By David Peel. 2004

533 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

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Order Flow and Exchange Rate Dynamics in Brazil (2004, background): “There are a number of surveys on the extant theories and models, which make it unnecessary to d iscuss these in d etail here (Eaton and Turnovsky, 1983; Macdonald and Taylor, 1992; Frankel and Rose, 1994; Isard, 1995; Taylor, 1995 ).”
Heterogeneity of agents, transactions costs and the exchange rate (2005, background): “The empirical evidence substantiates these results (see Sarno and Taylor (2002) who show that when the size of the shocks to the PPP-relation is large,the speed of adjustment towards PPP is also high).”
Towards a Solution to the Puzzles in Exchange Rate Economics: Where Do We Stand? (2005, background): “(i) Survey measures of exchange rate expectations are very poor forecasters and the expectations, themselves, are frequently not internally consistent (Frankel and Froot, 1987; Sarno and Taylor, 2003).”
The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis (2007, background): “30 Third, it is a stylized fact that fundamental exchange rate models fail empirically at shorter-term horizons (Sarno and Taylor, 2002; Cheung, Chinn and Garcia Pascual, 2005).”