Title Predictable movements in yen/DM exchange rates / Qingying Kong

Published [Washington, D.C.] : International Monetary Fund, European I Dept., ©2000

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Description 1 online resource (36 pages) : illustrations Series IMF working paper ; WP/00/143 IMF working paper ; WP/00/143 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 Bibliography Includes bibliographical references (pages 17-20) Notes 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 MiAaHDL digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL Print version record 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. Form Electronic book Author International Monetary Fund. European I Department

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