External imbalances predict exchange rate returns, finds SNB paper
Deviations from trends in net foreign assets and net exports signal future exchange rate movements
Deviations from trends in Swiss net foreign assets and net exports "provide signals" for future Swiss franc nominal effective exchange rate movements, according to a Swiss National Bank working paper.
Exchange rate returns and external adjustment: evidence from Switzerland, by Christian Grisse and Thomas Nitschka, studies the extent to which external imbalances indicate subsequent exchange rate returns.
According to Grisse and Nitschka, one of the advantages of their approach is that it can be
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