Now showing items 1-4 of 4

    • Are Exchange Rates Really Random Walks? Some Evidence Robust To Parameter Instability 

      Rossi, Barbara (2006-02)
      Many authors have documented that it is challenging to explain exchange rate fluctuations with macroeconomic fundamentals: a random walk forecasts future exchange rates better than existing macroeconomic models. This paper ...
    • Exchange Rate Determination, Risk Sharing and the Asset Market View 

      Burnside, A Craig; Graveline, J (Economic Research Initiatives at Duke (ERID), 2012-12-15)
      Recent research in international finance has equated changes in real exchange rates with differences between the marginal utility growths of representative agents in different economies. The asset market view of exchange ...
    • "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange" 

      Andersen, TG; Bollerslev, Tim; Diebold, FX; Vega, C (2003)
      Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomic expectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange ...
    • The Returns to Currency Speculation 

      Burnside, A Craig; Eichenbaum, Martin; Kleshchelski, Isaac; Rebelo, Sergio T (2006)
      Currencies that are at a forward premium tend to depreciate. This `forward-premium puzzle` represents an egregious deviation from uncovered interest parity. We document the properties of returns to currency speculation strategies ...