The DOI matches its Crossref record; 71 of the 71 references it cites were found in a registry or an index.
Viewpoint: Towards a solution to the puzzles in exchange rate economics: where do we stand?
Abstract
Abstract. This paper provides a selective overview of puzzles in exchange rate economics. We begin with the forward bias puzzle: high interest rate currencies appreciate when one might guess that investors would demand higher interest rates on currencies expected to fall in value. We then analyse the purchasing power parity puzzle: the real exchange rate displays no (strong) reversion to a stable long‐run equilibrium level. Finally, we cover the exchange rate disconnect puzzle: the lack of a link between the nominal exchange rate and economic fundamentals. For each puzzle, we critically review the literature and speculate on potential solutions. JEL classification: F31
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Cites
Econometric policy evaluation: A critique
Lucas, R. E. (1976) · Carnegie-Rochester Conference Series on Public Policy · doi:10.1016/s0167-2231(76)80003-6 · Cited by 6,110
The Econometrics of Financial Markets
Campbell, J. Y., Lo, A. W., & MacKinlay, A. C. (1997) · doi:10.1515/9781400830213 · Cited by 5,008
Empirical exchange rate models of the seventies
Meese, R. A., & Rogoff, K. (1983) · Journal of International Economics · doi:10.1016/0022-1996(83)90017-x · Cited by 4,107
The Penn World Table (Mark 5): An Expanded Set of International Comparisons, 1950-1988
Summers, R., & Heston, A. (1991) · The Quarterly Journal of Economics · doi:10.2307/2937941 · Cited by 3,429
The Purchasing Power Parity Puzzle
Rogoff, K. (1996) · RePEc: Research Papers in Economics · Cited by 2,910
Value At Risk: The New Benchmark for Managing Financial Risk
Jorion, P. (2000) · Cited by 2,477
Forward and spot exchange rates
Fama, E. F. (1984) · Journal of Monetary Economics · doi:10.1016/0304-3932(84)90046-1 · Cited by 2,145
The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?
Obstfeld, M., & Rogoff, K. (2000) · National Bureau of Economic Research · doi:10.3386/w7777 · Cited by 2,018
Modelling Nonlinear Economic Relationships
Granger, C. W. J., & Teräsvirta, T. (1993) · doi:10.1093/oso/9780198773191.001.0001 · Cited by 1,545
Evaluating Density Forecasts with Applications to Financial Risk Management
Diebold, F. X., Gunther, T. A., & Tay, A. S. (1998) · International Economic Review · doi:10.2307/2527342 · Cited by 1,452
Cited by
Arbitrage in the foreign exchange market: Turning on the microscope
Akram, Q. F., Rime, D., & Sarno, L. (2008) · Journal of International Economics · doi:10.1016/j.jinteco.2008.07.004 · Cited by 341
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Metadata
- Authors
- Sarno, L.
- Venue
- Canadian Journal of Economics/Revue canadienne d'économique
- Publisher
- Wiley
- Published
- 2005-07-28
- Volume
- 38
- Issue
- 3
- Pages
- 673-708
- ISSN
- 0008-4085 (ISSN-L)
- 1540-5982
- OpenAlex
- W2014880655
- Cited by
- 273
- References
- 71
- FWCI
- 29.76
- Type
- journal article
- Language
- en
- Open access
- closed
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