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In Which Exchange Rate Models Do Forecasters Trust?
Author:
Mr. Jaewoo Lee
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Mr. H. Takizawa null

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Mr. David Hauner
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Series:
IMF Working Papers
Volume/Issue:
Volume 2011: Issue 116
Language:
English
Publication Date:
01 May 2011
DOI:
https://doi.org/10.5089/9781455262397.001
ISBN:
9781455262397
ISSN:
1018-5941
Pages:
17
Keywords:
WP; interest rate; nominal exchange rate; GDP; Exchange rate models; forecasting; interest rate differential; exchange rate expectation; depreciating exchange rate; exchange rate movement; exchange rate appreciation; expected exchange rate change; exchange rate regime classification; euro exchange rate; Exchange rates; Exchange rate arrangements; Purchasing power parity; Currencies; Exchange rate forecasting
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund