Which Fundamentals Drive Exchange Rates? A Cross‐Sectional Perspective
检验了现值模型的关键预测：汇率是否包含未来基本面信息。基于1900-2009年35种货币对的数据，发现汇率对名义基本面（通胀、货币余额、名义GDP）有显著预测力，但对实际基本面和风险溢价的预测力较弱。
Standard present‐value models suggest that exchange rates are driven by expected future fundamentals, implying that exchange rates contain information about future fundamentals. We test this key empirical prediction of present‐value models in a sample of 35 currency pairs ranging from 1900 to 2009. Employing a variety of tests, we find that exchange rates have strong and significant predictive power for nominal fundamentals (inflation, money balances, nominal GDP), whereas predictability of real fundamentals and risk premia is much weaker and largely confined to the post–Bretton Woods era. Overall, we uncover ample evidence that future macrofundamentals drive current exchange rates.