What’s news in exchange rate dynamics: A DSGE approach
2015
Chen, Kan | Zhang, Shage
This paper examines the medium and long-term impacts of economic news on exchange rate movements. We extend a standard new open economy macroeconomics model by allowing anticipated (news) shocks in purchasing power parity and real interest rates, and perform a structural Bayesian estimation. Using 20 years of quarterly data from the US and the euro area, we find that anticipated shocks account for more than 40 percent of exchange rate fluctuations.
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书目信息
出版者
Springer Berlin Heidelberg
其它主题
F41; F31; News; F37; Interest (finance); United states; Dsge
语言
英语
类型
Journal Article; Text
2024-02-27
MODS