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In which exchange rate models do forecasters trust?

Author: David Hauner; Jaewoo Lee; H Takizawa; International Monetary Fund. Research Department,
Publisher: [Washington, D.C.] : International Monetary Fund, 2011.
Series: IMF working paper, no. WP11/116.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Database:WorldCat
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."--Abstract.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Lee, Jaewoo.
In Which Exchange Rate Models Do Forecasters Trust?
Washington : International Monetary Fund, ©2011
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: David Hauner; Jaewoo Lee; H Takizawa; International Monetary Fund. Research Department,
ISBN: 1283559803 9781283559805 9781455260348 1455260347
OCLC Number: 726800888
Description: 1 online resource (18 pages).
Contents: Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Data; 1. Descriptive Statistics; III. Purchasing Power Parity; 2. Inflation Differential; IV. Interest Rate Parity; 3. Interest Rate Differential; V. Behavioral Models; 4. Behavioral Equation; VI. Conclusions; Appendix; References; Footnotes.
Series Title: IMF working paper, no. WP11/116.
Responsibility: prepared by David Hauner, Jaewoo Lee, and Hajime Takizawa.

Abstract:

"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."--Abstract.

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