Since the term structure of interest rates embodies information about future economic activity, we extract relative Nelson-Siegel (1987) factors from cross-country yield curve differences to proxy expected movements in future exchange rate fundamentals. Using monthly data for the United Kingdom, Canada, Japan, and the United States, we show that the yield curve factors predict exchange rate mov...

This paper presents estimates of the impact of exchange rate movements on the industry-level price of investment goods using a panel of OECD countries. An exchange rate depreciation (appreciation) causes a significant rise (fall) in the prices of the investment goods used by most industries, but the magnitude of this effect differs greatly across sectors. A currency depreciation causes a strong...

This paper conducts empirical investigation on the relationship between exchange rate and inflation targeting regime in the three developed and three emerging Asian economies that have adopted inflation targeting (IT) regime. Using a multivariate GARCH model under BEKK specification, we investigate if exchange rate affect the performance of IT and the performance of IT is compared between Asian...

This paper examines the effect that heterogeneous customer orders flows have on exchange rates by using a new, and the largest, proprietary dataset of weekly net order flow segmented by customer type across nine of the most liquid currency pairs. We make several contributions. Firstly, we investigate the extent to which customer order flow can help to explain exchange rate movements over and ab...