FX Trading and Exchange Rate Dynamics

Martin Evans

Chapter 5 in Studies in Foreign Exchange Economics, 2017, pp 189-245 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The origins of nominal exchange rate dynamics remain elusive. In particular, there is no widely accepted explanation for the sizable short- and medium-term movements in the dollar during the floatingrate period. More generally, theoretical models relating exchange rates to macroeconomic fundamentals are still outperformed by simple time-series models in forecasting spot rates over short- and medium-term horizons [Frankel and Rose (1995)]…

Keywords: Exchange Rates; Foreign Currency; Microstructure (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2017
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Working Paper: FX Trading and Exchange Rate Dynamics (2001)
Working Paper: FX trading and Exchange Rate Dynamics (2000)
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