The scapegoat theory of exchange rates: the first tests

• 成果类型: Article
• 署名作者: Fratzscher, Marcel; Rime, Dagfinn; Sarno, Lucio; Zinna, Gabriele
• 署名单位: Leibniz Association; DIW Berlin - Deutsches Institut fur Wirtschaftsforschung; Humboldt University of Berlin; Centre for Economic Policy Research - UK; BI Norwegian Business School; City St Georges, University of London; European Central Bank; Bank of Italy
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.09.001
• 发表日期: 2015
• 页码: 1-21
• 关键词: Scapegoat; Exchange rates; Economic fundamentals; survey data

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.