期刊
JOURNAL OF MONETARY ECONOMICS
卷 70, 期 -, 页码 1-21出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jmoneco.2014.09.001
关键词
Scapegoat; Exchange rates; Economic fundamentals; Survey data
资金
- Economic and Social Research Council [RES-062-23-2340]
The scapegoat theory of exchange rates (Bacchetta and van Wincoop, 2004, 2013) suggests that market participants may attach excessive weight to individual economic fundamentals, which are picked as scapegoats to rationalize observed currency fluctuations at times when exchange rates are driven by unobservable shocks. Using novel survey data that directly measure foreign exchange scapegoats for 12 exchange rates, we find empirical evidence that supports the scapegoat theory. The resulting models explain a large fraction of the variation and directional changes in exchange rates in sample, although their out-of-sample forecasting performance is mixed. (C) 2014 Elsevier B.V. All rights reserved.
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