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Evaluating Historical CGER Assessments:How Well Have They Predicted Subsequent Exchange Rate Movements?

Evaluating Historical CGER Assessments:How Well Have They Predicted Subsequent Exchange Rate Movements? by Jungjin Lee
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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.
International Monetary Fund; February 2009
27 pages; ISBN 9781452773285
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Title: Evaluating Historical CGER Assessments:How Well Have They Predicted Subsequent Exchange Rate Movements?
Author: Jungjin Lee; Abdul Abiad; Prakash Kannan
 
ISBNs
1451916159
9781451871791
9781451916157
9781452773285