Norrbin, Stefan; Reffett, Kevin; Ji, Yaohua - In: Applied Financial Economics 7 (1997) 1, pp. 87-95
The possibility is explored that purchasing power parity (PPP) can be useful in forecasting exchange rates and/or prices. The first step shows that the spot exchange rate is statistically exogenous in the PPP relationship. The next step investigates the forecastability of the variables in the...