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Predictable Movements in Yen/DM Exchange Rates

Predictable Movements in Yen/DM Exchange Rates »

Source: Predictable Movements in Yen/DM Exchange Rates

Volume/Issue: 2000/143

Series: IMF Working Papers

Author(s): Janet Kong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2000

ISBN: 9781451856330

Keywords: exchange rate forecast, exchange rate, nominal exchange rate, forecasting, real exchange rate, Japanese Yen, Deutsche Mark

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 cointeg...

Infrequent Large Nominal Devaluations and their Impacton the Futures Prices for Foreign Exchange in Brazil

Infrequent Large Nominal Devaluations and their Impacton the Futures Prices for Foreign Exchange in Brazil »

Source: Infrequent Large Nominal Devaluations and their Impacton the Futures Prices for Foreign Exchange in Brazil

Volume/Issue: 1996/49

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 1996

ISBN: 9781451846799

Keywords: exchange rate, forecasting, probability, statistic, foreign exchange

This paper discusses the behavior of futures prices for foreign exchange in Brazil during a period of high inflation and successive stabilization attempts (1989-92). After testing for futures prices unbiasedness an...

Uncovered Interest Parity in Crisis

Uncovered Interest Parity in Crisis »

Source: Uncovered Interest Parity in Crisis : The Interest Rate Defense in the 1990s

Volume/Issue: 2001/207

Series: IMF Working Papers

Author(s): Andrew Rose , and Robert Flood

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2001

ISBN: 9781451874655

Keywords: empirical, exchange rate, fixed, floating, developing, developed, exchange rate changes, exchange rates, standard errors, forecasting,

This paper tests for uncovered interest parity (UIP) using daily data for 23 developing and developed countries through the crisis-strewn 1990s. We find that UIP works better on average in the 1990s than in previou...

In Which Exchange Rate Models Do Forecasters Trust?

In Which Exchange Rate Models Do Forecasters Trust? »

Source: In Which Exchange Rate Models Do Forecasters Trust?

Volume/Issue: 2011/116

Series: IMF Working Papers

Author(s): Jaewoo Lee , H. Takizawa , and David Hauner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2011

ISBN: 9781455262397

Keywords: Exchange rate models, exchange rate, exchange rates, current account, interest rate, exchange rate regime, International Finance Forecasting and Simulation,

Using survey data of market expectations, we ask which popular exchange rate models appear to be consistent with expectation formation of market forecasters. Exchange rate expectations are found to be correlated wi...

Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies1

Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies1 »

Source: Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies

Volume/Issue: 2003/1

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Armando Méndez Morales

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2003

ISBN: 9781451841657

Keywords: Currency options, efficient markets, GMM, statistic, exchange rate, forecasting, exchange rate volatility,

This paper analyzes the informational efficiency of OTC currency options on the Czech koruna and the Polish zloty correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art t...

Regional Economic Outlook, October 2014
			: Staying the Course

Regional Economic Outlook, October 2014 : Staying the Course »

Series: Regional Economic Outlook

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 October 2014

DOI: http://dx.doi.org/10.5089/9781498386456.086

ISBN: 9781498386456

Keywords: Economic growth, Economic forecasting, Cross country analysis, Private investment, Regional Economic Outlook, Public debt, Public investment, Fiscal policy, Monetary policy, Infrastructure

Growth in much of Sub-Saharan Africa is expected to remain strong, driven by efforts to invest in infrastructure and strong agricultural production. The current Ebola outbreak in Guinea, Liberia, and Sierra Leone i...

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market »

Source: Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Volume/Issue: 1990/43

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 1990

ISBN: 9781451975000

Keywords: survey, exchange rate, foreign exchange, foreign exchange market, forecasting

This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated...

Exchange Rates in the New EU Accession Countries

Exchange Rates in the New EU Accession Countries »

Source: Exchange Rates in the New EU Accession Countries : What Have We Learned from the Forerunners?

Volume/Issue: 2005/27

Series: IMF Working Papers

Author(s): Katerina Smídková , and Ales Bulir

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2005

ISBN: 9781451860467

Keywords: Sustainable real exchange rates, ERM2, exchange rate, exchange rates, real exchange rate, fdi, real exchange rates, International Monetary Arrangements and Institutions, Financial Aspects of Economic Integration, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

Estimation and simulation of sustainable real exchange rates in some of the new EU accession countries point to potential difficulties in sustaining the ERM2 regime if entered too soon and with weak policies. Accor...

Some Implications for Monetary Policy of Uncertain Exchange Rate Pass-Through

Some Implications for Monetary Policy of Uncertain Exchange Rate Pass-Through »

Source: Some Implications for Monetary Policy of Uncertain Exchange Rate Pass-Through

Volume/Issue: 2003/25

Series: IMF Working Papers

Author(s): Benjamin Hunt , and Peter Isard

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 March 2003

ISBN: 9781451844283

Keywords: Exchange Rate, Uncertainty, inflation, exchange rate pass, monetary policy rules, General Aggregative Models: Forecasting and Simulation, Open Economy Macroeconomics,

The paper uses MULTIMOD to examine the implications of uncertain exchange rate pass-through for the conduct of monetary policy. From the policymaker's perspective, uncertainty about exchange rate pass-through impli...

Exchange Rate Pass-Through in Brazil

Exchange Rate Pass-Through in Brazil »

Source: Exchange Rate Pass-Through in Brazil

Volume/Issue: 2003/141

Series: IMF Working Papers

Author(s): Agnes Belaisch

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2003

ISBN: 9781451856200

Keywords: pass-through, exchange rate, VAR, exchange rate shock, price inflation, currency depreciation, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation,

In the last two years the real has undergone a large depreciation and the central bank has missed its inflation target in 2002 for the second year in a row. Inflation, however, has increased much less than the rate...