Download This PaperWhat's News in Exchange Rate Dynamics: A DSGE Approach
23 Pages Posted: 20 Apr 2017
Date Written: April 26, 2015
Abstract
This paper examines the medium and long-term impacts of economic news on exchange rate movements. We extend a standard new open economy macroeconomics model by allowing anticipated (news) shocks in purchasing power parity and real interest rates, and perform a structural Bayesian estimation. Using 20 years of quarterly data from the US and the euro area, we find that anticipated shocks account for more than 40 percent of exchange rate fluctuations.
Keywords: Exchange Rate, DSGE, News
JEL Classification: F31, F37, F41
Suggested Citation: Suggested Citation
Chen, Kan and Zhang, Shage, What's News in Exchange Rate Dynamics: A DSGE Approach (April 26, 2015). Available at SSRN: https://ssrn.com/abstract=2955348 or http://dx.doi.org/10.2139/ssrn.2955348
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.
