03859nam 2200649Ia 450 991081097330332120200520144314.01-4623-9311-X1-4527-7328-91-4518-7179-11-282-84254-49786612842542(CKB)3170000000055207(EBL)1608187(SSID)ssj0000940757(PQKBManifestationID)11492017(PQKBTitleCode)TC0000940757(PQKBWorkID)10955942(PQKB)11670850(Au-PeEL)EBL1608187(OCoLC)870245358(IMF)WPIEE2009032(MiAaPQ)EBC3013326(EXLCZ)99317000000005520720041202d2009 uf 0engur|n|---|||||txtccrEvaluating historical CGER assessments how well have they predicted subsequent exchange rate movements? /prepared by Abdul Abiad, Prakash Kanna, and Jungjin Lee1st ed.[Washington D.C.] International Monetary Fund20091 online resource (29 p.)IMF working paper ;WP/09/32Description based upon print version of record.1-4519-1615-9 Includes bibliographical references.Contents; I. Introduction; Box; 1. An Overview of CGER Exchange Rate Assessment Methodologies; II. Evaluating Misalignment Assessments for Advanced Economies; A. Mean Prediction Error; Figures; 1. Mean Prediction Error; B. Panel Regressions; Tables; 1. Panel Regression Results using Midpoint of CGER Assessment; 2. Panel Regression Results using MB Misalignment Estimate; C. Individual Country Diagnostics; 3. Evaluation Diagnostics using MB Estimates; 2. Scatterplots of Realized vs. Predicted Changes in REER; D. Evaluating Current Account Movements; 4. Panel Regression Results using CA NormIII. Cross-Section Analysis of the Fall 2006 CGER Estimates5. Country Coverage of the Expanded CGER Exercise.; 3. Undconditional Scatterplots, 27 CGER Countries; 6. Regression Results using Midpoint of CGER Assessment; 4. Conditional Scatterplots using Midpoint of CGER Assessment; 7. Regression Results using Individual CGER Methodologies; IV. Conclusion; 8. Regression Results using Midpoint of CGER Assessment, Different Horizons.......; References; Appendices; 1. Pooled Regression Results; 2. Description of Diagnostic Statistics.; 3. Data AppendixThe 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.IMF working paper ;WP/09/32.Foreign exchange ratesMathematical modelsForeign exchangeForeign exchange ratesMathematical models.Foreign exchange.339.267Abiad Abdul1703768Kanna Prakash1756772Lee Jungjin1703767MiAaPQMiAaPQMiAaPQBOOK9910810973303321Evaluating historical CGER assessments4194267UNINA