On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning
Fiche du document
- handle: 10670/1.tlf6ue
- hal: hal-01635867
- doi: 10.1016/j.intfin.2016.12.006
Ce document est lié à :
info:eu-repo/semantics/altIdentifier/doi/10.1016/j.intfin.2016.12.006
Mots-clés
Taylor rules Adaptive learning Fractional cointegration Exchange rates ACL-3 G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets F - International Economics/F.F3 - International Finance/F.F3.F31 - Foreign Exchange D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D83 - Search • Learning • Information and Knowledge • Communication • Belief • Unawareness C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space ModelsSujets proches
Fixed exchange rates Exchange rates Fluctuating exchange rates Flexible exchange rates Rates of exchange Foreign exchange--Rates Floating exchange ratesCiter ce document
Gilles de Truchis et al., « On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning », HAL-SHS : économie et finance, ID : 10.1016/j.intfin.2016.12.006
Métriques
Partage / Export
Résumé
This paper proposes a flexible theoretical framework to assess the conditions under which long-run comovements are likely to appear between exchange rates. We introduce a three-country extension of the Taylor rule fundamentals model with adaptive learning. Moreover, economies are affected by common and/or country-specific shocks and react according to the preferences of central banks. The simulation results suggest that the extent to which exchange rates comove in the long run strongly depends on the extent of linkages between economies and the purchasing power parity of exchange rates. Indeed without similar Taylor rules in two economically linked countries, exchange rates comovements disappear. We pursue our theoretical analysis using real data and find strong evidence of fractional cointegration between several European exchange rates.