New results on the rationality of survey measures of exchange-rate expectations
AbstractIn light of research questioning the usefulness of economists' models of exchange-rate determination, this paper investigates the rationality of survey measures of expectations for Deutschmark/dollar exchange rates for 1989-97. Using Liu and Maddala's (1992) "restricted cointegration" test, the author cannot reject the assumption that survey measures are unbiased exchange-rate forecasts. This finding is related to market participants' anticipation of the impact of economic policies.
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Bibliographic InfoArticle provided by Federal Reserve Bank of Cleveland in its journal Economic Review.
Volume (Year): (2000)
Issue (Month): Q I ()
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