The Predictability of Real Exchange Rate Changes in the Short and Long Run
Author | : Robert Cumby |
Publisher | : |
Total Pages | : 60 |
Release | : 1990 |
ISBN-10 | : IND:30000113457406 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book The Predictability of Real Exchange Rate Changes in the Short and Long Run written by Robert Cumby and published by . This book was released on 1990 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nominal exchange rates do not move to offset differences in inflation rates on a month to month, quarter to quarter, or even year to year basis, resulting in sizable real exchange rate changes. Are these changes predictable? We address this question in three ways. First, we describe a variety of tests of predictability and explain how the different tests are related. Next, we implement the tests for the U.S. dollar relative to four currencies and find statistically significant evidence that real exchange rate changes are predictable. Finally, we examine whether the predictability is of an economically interesting magnitude.