Predictable Movements in Yen/DM Exchange Rates /
This paper examines the relevance of PPP, the adjustment channel of real exchange rate and the predictability of the movement in nominal exchange rate by studying the behavior of yen/DM exchange rate, using cointegration method. Results support PPP and find that the real exchange rate is mean-revert...
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| Формат: | Журнал |
| Мова: | English |
| Опубліковано: |
Washington, D.C. :
International Monetary Fund,
2000.
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| Серія: | IMF Working Papers; Working Paper ;
No. 2000/143 |
| Онлайн доступ: | Full text available on IMF |
| Резюме: | This paper examines the relevance of PPP, the adjustment channel of real exchange rate and the predictability of the movement in nominal exchange rate by studying the behavior of yen/DM exchange rate, using cointegration method. Results support PPP and find that the real exchange rate is mean-reverting. The change in the nominal exchange rate exhibits significant auto-regressive property. These findings imply that movements in the nominal yen/DM exchange rate is actually predictable. The error-correction model and a simple first order autoregressive model both outperform the random walk model in out-of-sample forecasting. |
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| Опис примірника: | <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required |
| Фізичний опис: | 1 online resource (36 pages) |
| Формат: | Mode of access: Internet |
| ISSN: | 1018-5941 |
| Доступ: | Electronic access restricted to authorized BRAC University faculty, staff and students |