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Exchange-rate dark matter

Author: Martin D D Evans; International Monetary Fund. Research Department,
Publisher: [Washington, D.C.] : International Monetary Fund, ©2012.
Series: IMF working paper, WP/12/66.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
Dark matter accounts for 83 percent of the matter in the universe and plays a central role in cosmology modeling. This paper argues that an analogous form of dark matter plays a similarly important role in international macroeconomics. Exchange-rate dark matter is invisible, but its existence can be inferred from observations on real exchange rates and interest rates. I first show that dark matter is the dominant  Read more...
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Details

Genre/Form: Electronic books
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Martin D D Evans; International Monetary Fund. Research Department,
OCLC Number: 779468078
Notes: At head of title: Research.
Title from PDF title page (IMF Web site, viewed March 5, 2012).
"March 2012."
Description: 1 online resource (63 pages).
Series Title: IMF working paper, WP/12/66.
Responsibility: Martin D.D. Evans.

Abstract:

Dark matter accounts for 83 percent of the matter in the universe and plays a central role in cosmology modeling. This paper argues that an analogous form of dark matter plays a similarly important role in international macroeconomics. Exchange-rate dark matter is invisible, but its existence can be inferred from observations on real exchange rates and interest rates. I first show that dark matter is the dominant driver of short- and medium-term changes in real exchange rates for the G-7 countries; accounting for more than 90 percent of the variance at the five-year horizon. I then develop a model in which risk shocks account for dark matter's role as a driver of exchange-rate dynamics and other macro variables.

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