Understanding the sources of the exchange rate disconnect puzzle: A variance decomposition approach

研究成果: 雜誌貢獻文章同行評審

摘要

In this paper, we apply the monetary model to examine the degree to which economic fundamentals can explain large and persistent fluctuations in the spread between the nominal exchange rate and monetary fundamentals i.e. the so-called “exchange rate disconnect puzzle.” We show that deviations from purchasing power parity account for the bulk of the variation in the deviations of the nominal exchange rate from observed monetary fundamentals, whereas the importance of the risk premium becomes more pronounced after the establishment of the European Economic and Monetary Union.

原文英語
頁(從 - 到)267-287
頁數21
期刊International Review of Economics and Finance
56
DOIs
出版狀態已發佈 - 2018 七月 1

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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