We study whether the nonlinear behavior of the real exchange rate can help us account for the lack of predictability of … nonlinear predictability of the nominal exchange rate and nonlinear behavior on the real exchange rate in the context of a fully … specified cointegrated system. Using a panel of 19 countries and three numeraires, we find evidence of nonlinear predictability …

This paper provides evidence of short-run predictability for the real exchange rate by performing out-of-sample tests …-term predictability on the bilateral rates of 15 out of 17 countries vis-à-vis the US over the post Bretton-Woods float. A GMM estimation …