Exchange Rate Returns and External Adjustment: Evidence from Switzerland

被引：2

作者：

Grisse, Christian ^{[1
]}

Nitschka, Thomas ^{[1
]}

机构：

[1] Swiss Natl Bank, Monetary Policy Anal, Borsenstr 15,POB, CH-8022 Zurich, Switzerland

来源：

OPEN ECONOMIES REVIEW | 2016年 / 27卷 / 02期

关键词：

External imbalances; External adjustment; Exchange rates; Swiss franc; FOREIGN-ASSETS; RATE MODELS; CONSUMPTION; WEALTH; LIABILITIES; NATIONS; SAMPLE;

D O I：

10.1007/s11079-015-9376-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper studies the predictive power of external imbalances for exchange rate returns. We focus on Switzerland, a very open economy where exchange rate movements have a strong effect on external imbalances through valuation effects and trade flows. Using a simple modification of the Gourinchas and Rey (J Polit Econ 115(4):665-703, 2007) approach to make their approximation applicable to Switzerland, we find that measures of deviations from trends in Swiss net foreign assets and net exports help to forecast Swiss franc nominal effective exchange rate movements, both in and out of sample.

引用

页码：317 / 339

页数：23

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