Foreign Exchange Rate Expectations: Micro Survey Data
AbstractThis paper analyzes the panel data of biweekly surveys on the yen/dollar exchange rate expectations of forty-four institutions for two years and contains four major findings. First, market participants are heterogeneous; that is, significant "individual effects" exist in their expectation formation. Second, the individual effects have a characteristic of "wishful expectations": exporters expect yen depreciation and importers expect yen appreciation (relative to others). Third, many violate the rational expectations hypothesis. Fourth, forecasts with long horizons show less yen appreciation than those with short horizons. Cross-equation constraints implied by the consistency of the forecast term structure are strongly rejected in the data. Copyright 1990 by American Economic Association.
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Bibliographic InfoArticle provided by American Economic Association in its journal American Economic Review.
Volume (Year): 80 (1990)
Issue (Month): 3 (June)
Other versions of this item:
- Takatoshi Ito, 1990. "Foreign Exchange Rate Expectations: Micro Survey Data," NBER Working Papers 2679, National Bureau of Economic Research, Inc.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Froot, Kenneth A. & Ito, Takatoshi, 1989.
"On the consistency of short-run and long-run exchange rate expectations,"
Journal of International Money and Finance,
Elsevier, vol. 8(4), pages 487-510, December.
- Kenneth A. Froot & Takatoshi Ito, 1990. "On the Consistency of Short-run and Long-run Exchange Rate Expectations," NBER Working Papers 2577, National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel & Kenneth A. Froot, 1986.
"Short-term and long-term expectations of the yen/dollar exchange rate: evidence from survey data,"
International Finance Discussion Papers
292, Board of Governors of the Federal Reserve System (U.S.).
- Frankel, Jeffrey A. & Froot, Kenneth A., 1987. "Short-term and long-term expectations of the yen/dollar exchange rate: Evidence from survey data," Journal of the Japanese and International Economies, Elsevier, vol. 1(3), pages 249-274, September.
- Jeffrey A. Frankel & Kenneth A. Froot, 1988. "Short-term and Long-Term Expectations of the Yen/Dollar Exchange Rate: Evidence from Survey Data," NBER Working Papers 2216, National Bureau of Economic Research, Inc.
- Thomas J. Sargent, 1978.
"A note on maximum likelihood estimation of the rational expectations model of the term structure,"
26, Federal Reserve Bank of Minneapolis.
- Sargent, Thomas J., 1979. "A note on maximum likelihood estimation of the rational expectations model of the term structure," Journal of Monetary Economics, Elsevier, vol. 5(1), pages 133-143, January.
- Ito, Takatoshi & Quah, Danny, 1989. "Hypothesis Testing with Restricted Spectral Density Matrices, with an Application to Uncovered Interest Parity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(1), pages 203-15, February.
- Frankel, Jeff & Froot, Ken, 1986.
"Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations,"
Department of Economics, Working Paper Series
qt1972q8wm, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Frankel, Jeffrey A & Froot, Kenneth A, 1987. "Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations," American Economic Review, American Economic Association, vol. 77(1), pages 133-53, March.
- Ito, Takatoshi, 1988.
"Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity,"
The Review of Economics and Statistics,
MIT Press, vol. 70(2), pages 296-305, May.
- Takatoshi Ito, 1989. "Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity," NBER Working Papers 1493, National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel & Kenneth A. Froot, 1987. "Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations," NBER Working Papers 1672, National Bureau of Economic Research, Inc.
- Paul Krugman, 1986. "Pricing to Market when the Exchange Rate Changes," NBER Working Papers 1926, National Bureau of Economic Research, Inc.
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