UID:
edocfu_9958084336402883
Format:
1 online resource (36 pages)
ISBN:
1-4623-9731-X
,
1-4527-8653-4
,
1-282-00860-9
,
9786613795731
,
1-4519-0151-8
Series Statement:
IMF Working Papers
Content:
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.
Note:
Bibliographic Level Mode of Issuance: Monograph
,
English
Additional Edition:
ISBN 1-4518-5633-4
Language:
English
