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Short-run forecasting of the euro-dollar exchange rate with economic fundamentals

✍ Scribed by Marcos Dal Bianco; Maximo Camacho; Gabriel Perez Quiros


Book ID
116659196
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
326 KB
Volume
31
Category
Article
ISSN
0261-5606

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## ABSTRACT We examine consistency properties of the exchange rate expectation formation process of short‐run and long‐run forecasts in the dollar/euro and yen/dollar market. Applying nonlinear consistency restrictions we show that in a simple expectation formation structure short‐run forecasts are