The contribution of economic fundamentals to movements in exchange rates

Starting from the asset pricing approach of Engel and West, we examine the degree to which fundamentals can explain exchange rate fluctuations. We show that it is not possible to obtain sharp inferences about the relative contribution of fundamentals using only data on observed monetary fundamentals...

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Bibliographic Details
Main Authors: Nathan S. Balke, Jun Ma, Mark Wohar
Format: Default Article
Published: 2013
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Other economics not elsewhere classified
Bayesian analysis
Exchange rate decomposition
Monetary model
State-space model
Economics
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/15152
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