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Evaluating Historical CGER Assessments
Mr.Abdul AbiadMr.Prakash KannanJungjin Lee
其他書名
How Well Have They Predicted Subsequent Exchange Rate Movements?
出版International Monetary Fund, 2009-02-01
主題Business & Economics / Foreign ExchangeBusiness & Economics / Money & Monetary Policy
ISBN14518717919781451871791
URLhttp://books.google.com.hk/books?id=BIIYEAAAQBAJ&hl=&source=gbs_api
EBookSAMPLE
註釋The IMF's Consultative Group on Exchange Rate issues (CGER) has been conducting exchange rate assessments as part of the surveillance process since 1997. This paper evaluates CGER assessments from 1997 to 2006, by comparing these to subsequent movements in real effective exchange rates (REER). We find that CGER's estimated misalignments have predictive power over future REER movements, especially over longer horizons and after changes in fundamentals are accounted for. But while CGER misalignments frequently predict the direction of currency movements correctly, misalignments have tended to be persistent, resulting in systematic errors-overprediction for undervalued currencies and underprediction for overvalued currencies.