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 …

Publisher Summary This chapter presents a critical survey and an interpretation of recent
exchange rate research. It focuses on empirical results for exchange rates among major …

Since the 21st century, as the digital economy has flourished and the Fourth Industrial
Revolution has deepened, emerging technologies have exerted a significant influence on …

We show analytically that in a rational expectations present-value model, an asset price
manifests near–random walk behavior if fundamentals are I (1) and the factor for discounting …

This paper presents an exchange rate model of a new kind. Instead of relying exclusively on
macroeconomic determinants, the model includes a determinant from the field of …

We examine the asymptotic and finite-sample properties of tests for equal forecast accuracy
and encompassing applied to 1-step ahead forecasts from nested linear models. We first …

We re-assess exchange rate prediction using a wider set of models that have been
proposed in the last decade: interest rate parity, productivity based models, and a composite …

This paper presents analytical, Monte Carlo and empirical evidence concerning out-of-
sample tests of Granger causality. The environment is one in which the relative predictive …

Recent empirical evidence suggests that the time series behavior of the real exchange rate
is well approximated by a nonlinear, exponential smooth transition autoregressive (ESTAR) …

First published in 2007. Exchange Rate Economics: Theories and Evidence is the second
edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful …