The determinants of currency market forecasts: an empirical study
AbstractEmpirical studies using surveys of exchange rate expectations have become very popular in the literature. The majority have concluded that short-term currency market activity appears to be inconsistent with the standard neoclassical characterization and that, as a consequence, economists should shift their attention to the long run. This paper, rather than using foreign exchange surveys as an argument for ignoring the short run, treats them as a means of understanding it. To that end, an empirical test is conducted in which the survey results serve as the dependent variable. The results indicate that the expectational variables are not random, but exhibit a pattern. It is further shown that psychological factors play an important role in determining expectations, thus offering support for the Post Keynesian view of currency markets.
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Bibliographic InfoArticle provided by M.E. Sharpe, Inc. in its journal Journal of Post Keynesian Economics.
Volume (Year): 25 (2002)
Issue (Month): 1 (January)
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Web page: http://mesharpe.metapress.com/link.asp?target=journal&id=109348
empirical; exchange rates; expectations; Post Keynesian;
Other versions of this item:
- John Harvey, 2001. "The Determinants of Currency Market Forecasts: An Empirical Study," Working Papers 200102, Texas Christian University, Department of Economics.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
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.:
- Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
- Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
- Shinji Takagi, 1991. "Exchange Rate Expectations: A Survey of Survey Studies," IMF Staff Papers, Palgrave Macmillan, vol. 38(1), pages 156-183, March.
- John Harvey, 2009.
"Currency Market Participants' Mental Model and the Collapse of the Dollar: 2001-2008,"
200901, Texas Christian University, Department of Economics.
- John T. Harvey, 2009. "Currency Market Participants' Mental Model and the Collapse of the Dollar: 2001-2008," Journal of Economic Issues, M.E. Sharpe, Inc., vol. 43(4), pages 931-949, December.
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