TY  - JOUR
AU  - Cumby,Robert E.
AU  - Huizinga,John
TI  - The Predictability of Real Exchange Rate Changes in the Short and       Long Run
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 3468
PY  - 1990
Y2  - October 1990
UR  - http://www.nber.org/papers/w3468
L1  - http://www.nber.org/papers/w3468.pdf
N1  - Author contact info:
Robert E. Cumby
Georgetown University
School of Foreign Service
Washington, DC 20057-1045
Tel: 202/687-2990
Fax: 202/687-6102
E-Mail: cumbyr@georgetown.edu

John Huizinga
Graduate School of Business
The University of Chicago
1101 East 58th Street
Chicago, IL   60637
Tel: 773-702-7272;  john.huizinga@gsb.uchicago.edu
E-Mail: john.huizinga@ChicagoBooth.edu
AB  - 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.
ER  -