Expectations, Risk and Uncertainty in the Foreign Exchange Market: Some Results Based on Survey Data
AbstractThis paper utilizes monthly survey data on investment managers' exchange rate expectations in order to shed some light on the standard rejection of the joint null hypothesis of rational expectations and risk neutrality in foreign exchange markets. The results, in general, suggest that it is the failure of the assumption of risk neutrality which is primarily responsible. The paper also utilizes the survey data to test two recently advanced models of the risk premium--the ARCH and DYMIMIC models--and to examine the relationship between risk and uncertainty. Copyright 1989 by Blackwell Publishers Ltd and The Victoria University of Manchester
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Bibliographic InfoArticle provided by University of Manchester in its journal The Manchester School of Economic & Social Studies.
Volume (Year): 57 (1989)
Issue (Month): 2 (June)
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