The main goal of this article is to provide an answer to the question: does anything forecast
exchange rates, and if so, which variables? It is well known that exchange rate fluctuations …

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

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 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 …

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 …

We assess the properties of currency value strategies based on real exchange rates. We
find that real exchange rates have predictive power for the cross-section of currency excess …

For the academic audience, this paper presents the outcome of a well-identified, large
change in the monetary policy rule from the lens of a standard New Keynesian model and …

When the exchange rate is priced by uncovered interest parity and central banks set
nominal interest rates according to a reaction function such as the Taylor rule, the real …