Title: The exchange rate and its fundamentals in a complex world
Authors: De Grauwe, Paul ×
Grimaldi, M #
Issue Date: 2005
Series Title: Review of International Economics vol:13 issue:3 pages:549-575
Abstract: We develop a nonlinear exchange rate model with heterogeneous agents. Some agents adopt a “fundamentalist” forecasting rule, while others use a “chartist” forecasting rule. We show that the model is capable of explaining the empirical puzzles relating to exchange rate movements. In particular, the model explains the “exchange rate determination” and PPP puzzles, the excess volatility, and fat tails in exchange rate returns.
ISSN: 0965-7576
VABB publication type: VABB-1
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center of International Economics, Leuven
× corresponding author
# (joint) last author

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