Over the last two decades, the unprecedented increase in non-bank financial intermediation,
particularly the rise of open-end mutual funds and exchange-traded funds, accounts for …

We find strong empirical evidence that the liquidity yield on government bonds in
combination with standard economic fundamentals can well account for nominal exchange …

The risk sensitivity of international capital flow pressures is explored using a new Exchange
Market Pressure index that combines pressures observed in exchange rate adjustments with …

This paper evaluates the reliability of alternative equilibrium exchange rate assessments.
The literature has predominantly relied on the behavioral equilibrium exchange rate (BEER) …

In this paper we evaluate the predictive power of the three most popular equilibrium
exchange rate concepts: purchasing power parity (PPP), behavioral equilibrium exchange …

We show that in a popular model of exchange rate determination, the unobserved expected
future exchange rate can be substituted with the observed forward exchange rate. This …

The present study investigates the factors that affect the forecasting performance of several
models that have been used for exchange rate prediction. We provide a quantitative survey …

We developed several measures to analyze the global financial cycle employing dynamic
factor models and data for 25 advanced and emerging countries spanning 1980 to 2019 …

The foreign exchange market significantly affects international trade, making accurate
exchange rate predictions essential for investors, businesses, and government …

We establish a new link between the cross-section of currency returns and survey-based
forecasts. Using data from Consensus Economics, we show that surveys provide trading …