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 …

Forward exchange rate unbiasedness is rejected in tests from the current floating exchange
rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) …

We develop a theory that links the US dollar's valuation in FX markets to the convenience
yield that foreign investors derive from holding US safe assets. We show that this …

FIRST ARTICULATED by scholars of the ISalamanca school in sixteenth century Spain, 1
purchasing power parity (PPP) is the disarmingly simple empirical proposition that, once …

NEARLY EVERYONE would see the truth as between Hamlet and Puck. Including Hamlet
and Puck. Hamlet is feigning madness, and Puck is just being, well, puckish. Model-writing …

This paper is concerned with the fact that the incidence of speculative attacks tends to be
temporally correlated; that is, currency crises appear to pass contagiously from one country …

Using a new data set consisting of six years of real-time exchange-rate quotations,
macroeconomic expectations, and macroeconomic realizations, we characterize the …

Much has been written by historians and sociologists as well as business commentators
about the modern economy—the kind that supplanted the traditional economy in several …

Originally propounded by the sixteenth-century scholars of the University of Salamanca, the
concept of purchasing power parity (PPP) was revived in the interwar period in the context of …

This paper investigates the effects of shocks to US monetary policy on exchange rates. We
consider three measures of these shocks: orthogonalized shocks to the federal funds rate …