This chapter surveys recent theoretical and empirical contributions on foreign exchange rate
determination. The chapter first examines monetary models under uncovered interest parity …

Expectations play a central role in modern macroeconomic theories. The econometric
learning approach models economic agents as forming expectations by estimating and …

The uncovered interest parity puzzle concerns the empirical regularity that high interest rate
countries tend to have high expected returns on short term deposits. A separate puzzle is …

Standard models of exchange rates, based on macroeconomic variables such as prices,
interest rates, output, and so forth, are thought by many researchers to have failed …

An extensive literature that studied the performance of empirical exchange rate models
following Meese and Rogoff's [Meese, RA, Rogoff, K., 1983a. Empirical Exchange Rate …

We explore the link between an interest rate rule for monetary policy and the behavior of the
real exchange rate. The interest rate rule, in conjunction with some standard assumptions …

We construct factors from a cross-section of exchange rates and use the idiosyncratic
deviations from the factors to forecast. In a stylized data generating process, we show that …

This paper considers the generalized autoregressive conditional heteroscedastic approach
in modelling exchange rate volatility in a panel of nineteen of the Arab countries using daily …

Abstract The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing
our understanding of macrofinancial linkages, the two-way interactions between the real …

The interplay between monetary policy and asset prices is a subject of longstanding interest
in financial economics. Often, but not always, the focus is directed at trying to understand …