کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5101127 1479145 2017 34 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Exchange rate expectations since the financial crisis: Performance evaluation and the role of monetary policy and safe haven
ترجمه فارسی عنوان
انتظارات نرخ ارز از بحران مالی: ارزیابی عملکرد و نقش سیاست پولی و پناهگاه امن
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We analyze and evaluate novel data on exchange rate expectations after the collapse of Lehman Brothers for more than 60 economies over different horizons. At a first stage, we establish a potential discrepancy between statistical and economic measures. Market expectations are superior compared to trend and carry trade strategies based on economic evaluation criteria despite a weak statistical performance. We then turn to determinants of both expectations and resulting forecast errors. We find that monetary policy effects on expectations are time-varying and identify substantial international spillovers over the recent period of unconventional monetary policy. Our results also indicate that markets have been surprised by monetary policy effects on the exchange rates and point to an unexpected safe haven status of the US dollar after 2009.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 74, June 2017, Pages 283-300
نویسندگان
, ,