The scapegoat theory of exchange rates: the first tests

被引：36

作者：

Fratzscher, Marcel ^{[1
,2
,3
]}

Rime, Dagfinn ^{[4
]}

Sarno, Lucio ^{[3
,5
]}

Zinna, Gabriele ^{[6
]}

机构：

[1] DIW Berlin, D-10117 Berlin, Germany

[2] Humboldt Univ, D-10117 Berlin, Germany

[3] Ctr Econ Policy Res CEPR, London EC1V 3PZ, England

[4] BI Norwegian Business Sch, Dept Finance, N-0484 Oslo, Norway

[5] City Univ London, Finance Fac, Cass Business Sch, London EC1Y 8TZ, England

[6] Bank Italy, I-00184 Rome, Italy

来源：

JOURNAL OF MONETARY ECONOMICS | 2015年 / 70卷

基金：

英国经济与社会研究理事会;

关键词：

Scapegoat; Exchange rates; Economic fundamentals; Survey data; MEESE-ROGOFF PUZZLE; RATE DYNAMICS; PARAMETER INSTABILITY; FOREIGN-EXCHANGE; MONETARY-POLICY; ORDER FLOW; FUNDAMENTALS; REAL; PREDICTABILITY; EXPLAIN;

D O I：

10.1016/j.jmoneco.2014.09.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：1 / 21

页数：21

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