The Feeble Link Between Exchange Rates and Fundamentals: Can We Blame the Discount Factor?

Elvira Sojli, L Sarno

Research output: Contribution to journalArticleAcademicpeer-review

18 Citations (Scopus)

Abstract

Recent research demonstrates that the well-documented feeble link between exchange rates and economic fundamentals can be reconciled with conventional exchange rate theories under the assumption that the discount factor is near unity (Engel and West 2005). We provide empirical evidence that this assumption is valid, lending further support to the above explanation of the empirical disconnect between nominal exchange rates and fundamentals.
Original languageEnglish
Pages (from-to)437-442
Number of pages6
JournalJournal of Money, Credit, and Banking
Volume41
Issue number2-3
DOIs
Publication statusPublished - 2009

Fingerprint

Dive into the research topics of 'The Feeble Link Between Exchange Rates and Fundamentals: Can We Blame the Discount Factor?'. Together they form a unique fingerprint.

Cite this