Exchange rates and fundamentals: Evidence on long-horizon predictability

@inproceedings{Mark1995ExchangeRA,
  title={Exchange rates and fundamentals: Evidence on long-horizon predictability},
  author={Nelson C. Mark},
  year={1995}
}
Regressions of multiple-period changes in the log exchange rate on the deviation of the log exchange rate from its 'fundamental value' display evidence that long-horizon changes in log nominal exchange rates contain an economically significant predictable component. To account for small-sample bias and size distortion in asymptotic tests, inference is drawn from bootstrap distributions generated under the null hypothesis that the log exchange rate is unpredictable. The bias-adjusted slope… CONTINUE READING

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