Fundamental determinants of exchange rate expectations
利用2002-2023年29个经济体的实时调查数据，研究GDP增长、通胀、利率和经常账户等基本面预期如何影响汇率预期，发现基本面预期对长期汇率预期更重要，且悲观预期更关注基本面。
This paper provides a new perspective on the expectations-building mechanism in foreign exchange markets. We analyze the role of expectations regarding macroeconomic fundamentals for expected exchange rate changes. Real-time survey data is assessed for 29 economies from 2002 to 2023, and expectations regarding GDP growth, inflation, interest rates, and current accounts are considered. Our empirical findings show that fundamentals expectations are more important over longer than shorter horizons. We find that an expected increase in GDP growth relative to the US leads to an expected appreciation of the domestic currency. In contrast, higher relative inflation expectations lead to an expected depreciation, a finding consistent with purchasing power parity. Our results also indicate that the expectation-building process differs systematically across pessimistic and optimistic forecasts, with the former paying more attention to fundamentals expectations. Finally, we also observe that fundamentals expectations have some explanatory power for forecast errors, especially for longer horizons.