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The US$// Exchange Rate: Structural Modeling and Forecasting During the Recent Financial Crises
2015
Social Science Research Network
The paper investigates the determinants of the US$/ exchange rate since its introduction in 1999, with a special focus on the recent subprime mortgage and sovereign debt financial crises. The econometric model is grounded on the asset pricing theory of exchange rate determination, which posits that current exchange rate fluctuations are determined by the entire path of current and future revisions in expectations about fundamentals. In this perspective, we innovate the literature by
doi:10.2139/ssrn.2708457
fatcat:b5wjfjfifvb2tbeonohmr6gwku