Predictable movements in yen/DM exchange rates /

Predictable movements in yen/DM exchange rates /

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Bibliographic Details
Author / Creator:	Kong, Qingying.
Imprint:	[Washington, D.C.] : International Monetary Fund, European I Dept., ©2000.
Description:	1 online resource (36 pages) : illustrations
Language:	English
Series:	IMF working paper ; WP/00/143 IMF working paper ; WP/00/143.
Subject:	Foreign exchange rates -- Forecasting -- Econometric models. Yen, Japanese -- Econometric models. Mark, German -- Econometric models. Purchasing power parity -- Econometric models. Prices -- Forecasting -- Econometric models. Foreign exchange rates -- Forecasting -- Econometric models. Purchasing power parity -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12496647

Hidden Bibliographic Details
Other authors / contributors:	International Monetary Fund. European I Department.
Notes:	Includes bibliographical references (pages 17-20). Restrictions unspecified Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010. 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. http://purl.oclc.org/DLF/benchrepro0212 digitized 2010 HathiTrust Digital Library committed to preserve Print version record.
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 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.
Other form:	Print version: Kong, Qingying. Predictable movements in yen/dm exchange rates. [Washington, D.C.] : International Monetary Fund, European I Dept., ©2000

Description
Physical Description:	1 online resource (36 pages) : illustrations
Format:	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.
Bibliography:	Includes bibliographical references (pages 17-20).