The discount factor for expected fundamentals: Evidence from a panel of 25 exchange rates

• Main Authors: Phornchanok Cumperayot, Roy Kouwenberg
• Other Authors: Chulalongkorn University
• Format: Article
• Published: 2021
• Subjects: Business, Management and Accounting; Economics, Econometrics and Finance
• Online Access: https://repository.li.mahidol.ac.th/handle/123456789/60890
• Institution: Mahidol University

© 2020 CEPII (Centre d'Etudes Prospectives et d'Informations Internationales), a center for research and expertise on the world economy In asset pricing models the exchange rate is the discounted present value of expected economic fundamentals. Engel and West (2005) demonstrate that the we...