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01646cas a2200241 a 4500 |
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|c 5.00 USD
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|z 9781451856330
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Kong, Janet.
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|a Predictable Movements in Yen/DM Exchange Rates /
|c Janet Kong.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2000.
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|a 1 online resource (36 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2000/143
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2000/143/001.2000.issue-143-en.xml
|z IMF e-Library
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