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Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability

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Author Info
Giorgio Valente
Lucio Sarno
Abhay Abhayankar

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Paper provided by Warwick Business School, Financial Econometrics Research Centre in its series Working Papers with number wp04-01.

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Date of creation: 2004
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Handle: RePEc:wbs:wpaper:wp04-01

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  1. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach," Ruhr Economic Papers 0134, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
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  2. Yin-Wong Cheung & Menzie David Chinn & Antonio Garcia Pascual, 2004. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," IMF Working Papers 04/73, International Monetary Fund. [Downloadable!]
    Other versions:
  3. Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009. "A High-Low Model of Daily Stock Price Ranges," Working Papers 032009, Hong Kong Institute for Monetary Research. [Downloadable!]
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  4. Valerie Cerra & Sweta Chaman Saxena, 2008. "The Monetary Model Strikes Back: Evidence from the World," IMF Working Papers 08/73, International Monetary Fund. [Downloadable!]
  5. Menkhoff, Lukas & Rebitzky, Rafael, 2007. "Investor sentiment in the US-dollar: longer-term, nonlinear orientation on PPP," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-376, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
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  6. Kenneth W Clements & Yihui Lan, 2006. "A New Approach to Forecasting Exchange Rates," Economics Discussion / Working Papers 06-29, The University of Western Australia, Department of Economics. [Downloadable!]
  7. Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  8. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis. [Downloadable!]
  9. Ronald MacDonald & Lukas Menkhoff & Rafael R. Rebitzky, 2009. "Exchange rate forecasters’ performance: evidence of skill?," Working Papers 2009_13, Department of Economics, University of Glasgow. [Downloadable!]
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  10. Zwart, G.J. de & Markwat, T.D. & Swinkels, L. & Dijk, D.J.C. van, 2007. "The Economic Value of Fundamental and Technical Information in Emerging Currency Markets," Research Paper ERS-2007-096-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
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  11. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2009. "Exchange Rate Forecasting, Order Flow and Macroeconomic Information," CEPR Discussion Papers 7225, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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