全球智库信息集成服务系统(G2TT): The Predictability of Real Exchange Rate Changes in the Short and Long Run

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w3468
来源ID	Working Paper 3468
	The Predictability of Real Exchange Rate Changes in the Short and Long Run
	Robert E. Cumby; John Huizinga
发表日期	1990-10-01
出版年	1990
语种	英语
摘要	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.
主题	International Economics
URL	https://www.nber.org/papers/w3468
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/560763
推荐引用方式 GB/T 7714	Robert E. Cumby,John Huizinga. The Predictability of Real Exchange Rate Changes in the Short and Long Run. 1990.