CUTLER,POTERBA SUMMERS SPECULATIVE DYNAMICS 541 TABLE 7 Forecasting excess exchange rate and precious metal returns 1 Month 12 Month 48 Month Country B p-value R2 B12 p-value 2 B48 p-value A.Exchange Rate Returns United States France -098 [080] 0-003 -188 [059] 0-129 3443 [0-49] 0-455 (103) (1421) (34-94) Germany -1-44 [0-88] -0-002 -9-44 [0-70] 0-071 -9-32 [067] 0252 (1-03) (14-10) (33-66) Japan 058 [0-40] 0-007 29-72 [0-28] 0-212 15063 [001] 0-715 (1·79) (2158) (13-82 United 061 [0-35] 0-019 1874 [027] 0272 122-56 [0-06] 0-813 Kingdom (128) (13·17) (19-17) Japan France -1-29 [078] -0-003 -0-17 [056] 0111 -28-81 [077) 0-286 (116) (10-86) (24·39 Germany -164 [0-83] -0-004 -8-97 [0-74] 0-051 -6742 [091] 0-024 (1-15) (10-31) (20-32) United 0-22 [0-53] 0-009 21-28 [0-26] 0-222 96-30 [0-10] 0592 Kingdom (142) (1412) (18-90) United Kingdom France -0-87 [0681 -0-002 -9-06 [0-72] 0-024 2430 [049] 0-366 (1-66) (11-69 (2475) Germany -1·46 [0-82] -0004 -9-81 [0-75] 0-032 -2463 [0-741 0-187 (141) (10-11) (28-18) Germany France 4-05 [006] 0-033 63-00 [0-05] 0452 21-15 [049] 0086 (2-28) (17-43) (21-42) Average -0-22 [067] 934 [017] 3192 [016] (046) (448) (7-84) B.Precious Metal Returns Gold 094 [0-33] 0-012 27-05 [0-17] 0-235 13319 [0-06] 0-871 (1-97) (13-06) (2098) Silver 292 [0-161 0-017 27.49 [020] 0188 109-00 [0-22] 0-451 (2.51)） (1468) (32-75 Metal -0-18 [055] 0-000 14-05 [0-19] 0-094 29-69 [037] 0150 index (093) (10-51) (35-31) Note. The regressions are similar to those in Table 5.The fundamental is a constant in each case.The price is the logarithm of the real exchange rate or the logarithm of the real metal price.Data are from 1974-1988. except for the metal index (1959-1988). For both gold and silver,the estimated coefficients on 48-month returns imply that deviations between prices and fundamental values are more than eradicted over this interval.The small samples preclude us from estimating similar equations for real assets. Case and Shiller(1990)report evidence that rental-to-price ratios positively predict future returns in the cities for which they have data.If the discount rate is constant,the rental-to-price ratio can be interpreted as a constant multiple of the fundamental-price ratio. 3.2.Short-term interest rates and return predictability A final empirical regularity concerns the relationship between short-term interest rates and excess returns.Froot (1990)documents that the level of short rates forecasts the excess return on foreign exchange,some commodities,as well as U.S.stocks and bonds. Copyright 2001 All Rights Reserved