CORDIS Project
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This project investigates the relationship between foreign exchange rates and macroeconomic fundamentals, aiming to understand their co-movement and causality. It employs advanced econometric models to validate theoretical conclusions and improve forecasting methods in the context of international economics.
This proposal builds upon the seminal work of Engel & West (JPE, 2005) on the relationship between FX rates (FXRs) & fundamentals (FMs).
They deal with the long-standing puzzle in international economics, which is the difficulty of linking floating FXRs to macroeconomic FMs.
In this project, we take a new line of attack on the question of co-movement between FXRs & FMs as well as between FXRs.
We work with the class of asset-pricing models of Engel & West (EW).
We attempt to empirically verify t…
ISTITUTO UNIVERSITARIO EUROPEO
EUROPEAN UNIVERSITY INSTITUTE
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