Using US and German data, PhD candidate Sen Dong builds a no-arbitrage model to understand the dynamics of exchange rates with macro risks and monetary policy and finds that the output gap and inflation drive about 70% of the variance of forecasting the conditional mean of exchange rate changes.
Dong, Sen. "Macro Variables Do Drive Exchange Rate Movements: Evidence from a No-Arbitrage Model." Chazen Web Journal of International Business (2005). http://www.gsb.columbia.edu/chazen/journal.
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