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Predictable movements in yen/DM exchange rates

Author: Qingying Kong; International Monetary Fund. European I Department.
Publisher: [Washington, D.C.] : International Monetary Fund, European I Dept., ©2000.
Series: IMF working paper, WP/00/143.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Summary:
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  Read more...
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Additional Physical Format: Print version:
Kong, Qingying.
Predictable movements in yen/dm exchange rates.
[Washington, D.C.] : International Monetary Fund, European I Dept., ©2000
(OCoLC)45177640
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Qingying Kong; International Monetary Fund. European I Department.
OCLC Number: 647087736
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (36 pages) : illustrations.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: IMF working paper, WP/00/143.
Responsibility: Qingying Kong.

Abstract:

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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