کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7366328 | 1479184 | 2013 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Exchange rates and individual good's price misalignment: Evidence of long-horizon predictability
ترجمه فارسی عنوان
نرخ ارز و عدم تقارن قیمت کالاهای شخصی: شواهد پیش بینی پذیری طولانی مدت
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
Although purchasing-power-parity fundamentals, in general, have only weak predictability, currency misalignment may be indicated by price differentials for some individual goods, which could then have predictive power for subsequent re-evaluation of the nominal exchange rate. We collect good-level price data to construct deviations from the law of one price and examine the resulting price-misalignment model's predictive power for the nominal exchange rates between the U.S. dollar and two other currencies: the Japanese yen and the U.K. pound. We find that the slope coefficients and R-squares of in-sample forecasting regressions for almost all goods in our data increase with the forecast horizon for the bilateral exchange rates between the U.S. dollar and the Japanese yen and the U.S. dollar and the U.K. pound. The results of tests for out-of-sample superior predictive ability suggest that our price-misalignment model outperforms a random walk model either with or without drift for the U.S. dollar vis-Ã -vis the Japanese yen at the 5 percent level of significance over long horizons.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 32, February 2013, Pages 611-636
Journal: Journal of International Money and Finance - Volume 32, February 2013, Pages 611-636
نویسندگان
Wei Dong, Deokwoo Nam,