Monetary Policy and the Predictability of Nominal Exchange Rates

Abstract

for their comments and Martin Bodenstein for helpful discussions. At least one co-author has disclosed a financial relationship of potential relevance for this research. Further information is available online at http://www.nber.org/papers/w23158.ack NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.

A study on exchange rate risk through lagged predictors, market risk and financial sector indicators: Time series analysis from Kuwait

“…Besides, the lagged values of exchange rates are examined in the literature to predict its present status. Various studies have taken the lagged for the exchange rate as the key determinants of ER risk (Ajayi & Mougouė, 1996;Basher et al, 2016;Eichenbaum et al, 2017;Feenstra, 1989;Ferraro et al, 2015;Somanath, 1986).…”

Asset Prices and Macroeconomic Outcomes: A Survey

“…Some recent models examine the impact of learning on the linkages between exchange rates and fundamentals. The literature reviewed above clearly suggests that there is no consensus on a specific model that fully captures the relationships between exchange rates and macroeconomic and financial variables (Ca' Zorzi et al (2017) and Eichenbaum et al (2017)). A reasonable assumption consequently is that agents do not know the true model or at least do not know the true parameters linking exchange rates to economic and financial fundamentals.…”

Monetary Policy and Exchange Rate Returns: Time-Varying Risk Regimes

“…1 Some important contributions to the early theoretical literature include Dornbusch (1976Dornbusch ( , 1980Dornbusch ( , 1987, Mussa (1982), and models that examined the forecasting of fixed exchange rate collapses, such as Flood and Marion (1982), Flood and Garber (1984), and Flood and Hodrick (1986), to name only a few. 2 Meese and Rogoff (1983), Ito and Roley (1988), Eichenbaum and Evans (1995), Evans and Lyons (2002), Gholampour and van Wincoop (2018), and Eichenbaum, Johannsen and Rebelo (2018). Eichenbaum and Evans (1995) and Eichenbaum, Johannsen and Rebelo (2018) find persistent effects of monetary policy news on exchange rate returns.…”

“…2 Meese and Rogoff (1983), Ito and Roley (1988), Eichenbaum and Evans (1995), Evans and Lyons (2002), Gholampour and van Wincoop (2018), and Eichenbaum, Johannsen and Rebelo (2018). Eichenbaum and Evans (1995) and Eichenbaum, Johannsen and Rebelo (2018) find persistent effects of monetary policy news on exchange rate returns. 3 For example, Dominguez and Frankel (1993), Lyons (2001).…”