In Which Exchange Rate Models Do Forecasters Trust?

18 Pages Posted: 31 May 2011

See all articles by H. Takizawa

H. Takizawa

affiliation not provided to SSRN

Jaewoo Lee

International Monetary Fund (IMF) - Research Department

David Hauner

International Monetary Fund (IMF) - African Department

Date Written: May 2011

Abstract

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.

Keywords: Economic forecasting, Exchange rates, Forecasting models, Interest rate differential, Purchasing power parity

Suggested Citation

Takizawa, H. and Lee, Jaewoo and Hauner, David, In Which Exchange Rate Models Do Forecasters Trust? (May 2011). IMF Working Papers, Vol. , pp. 1-17, 2011. Available at SSRN: https://ssrn.com/abstract=1854827

H. Takizawa

affiliation not provided to SSRN

No Address Available

Jaewoo Lee (Contact Author)

International Monetary Fund (IMF) - Research Department ( email )

700 19th Street NW
Washington, DC 20431
United States
202-623-7331 (Phone)
202-623-6334 (Fax)

David Hauner

International Monetary Fund (IMF) - African Department ( email )

1700 19th Street, NW
Washington, DC 20431
United States

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