Revisiting the relationship between exchange rates and fundamentals

Shiu Sheng Chen*, Yu Hsi Chou

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

8 引文 斯高帕斯(Scopus)

摘要

In this paper, we apply the permanent-transitory decomposition method to analyze the role of permanent and transitory shocks in explaining the apparent weak link between nominal exchange rates and economic fundamentals. The results suggest that for most of the countries we investigate, including Finland, Italy, Portugal, France and Switzerland, transitory shocks dominate exchange rate fluctuations, while permanent shocks dominate the variations in economic fundamentals. The findings therefore provide an alternative interpretation of the "exchange rate disconnect puzzle". Moreover, the results also suggest that comprehensive modeling of transitory components in empirical models should not be neglected in studies of the dynamics of exchange rates.

原文英語
頁(從 - 到)1-22
頁數22
期刊Journal of Macroeconomics
46
DOIs
出版狀態已發佈 - 2015

ASJC Scopus subject areas

  • 經濟學與計量經濟學

指紋

深入研究「Revisiting the relationship between exchange rates and fundamentals」主題。共同形成了獨特的指紋。

引用此