Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/128023 
Erscheinungsjahr: 
2003
Schriftenreihe/Nr.: 
Working Paper No. 03.02
Verlag: 
Swiss National Bank, Study Center Gerzensee, Gerzensee
Zusammenfassung: 
Empirical evidence shows that observed macroeconomic fundamentals have little explanatory power for nominal exchange rates (the exchange rate determination puzzle). On the other hand, the recent "microstructure approach to exchange rates" has shown that most exchange rate volatility at short to medium horizons is related to order flow. In this paper we introduce symmetric information dispersion about future fundamentals in a dynamic rational expectations model in order to explain these stylized facts. Consistent with the evidence the model implies that (i) observed fundamentals account for little of exchange rate volatility in the short to medium run, (ii) over long horizons the exchange rate is closely related to observed fundamentals, (iii) exchange rate changes are a weak predictor of future fundamentals, and (iv) the exchange rate is closely related to order flow over both short and long horizons.
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
280.19 kB





Publikationen in EconStor sind urheberrechtlich geschützt.