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Past trend versus future expectation: test of exchange rate volatility

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  • Sengupta, Jati K.
  • Sfeir, Raymond
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    Abstract

    Which of the two forces, past trends or future expectations plays a more dominant role in exchange market volatility? This hypothesis is econometrically tested here for four advanced industrial countries, France, UK, Japan and Germany over the period 1985 to 1995.

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    Bibliographic Info

    Paper provided by Department of Economics, UC Santa Barbara in its series University of California at Santa Barbara, Economics Working Paper Series with number qt9mx2c7jv.

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    Date of creation: 01 Jan 1997
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    Handle: RePEc:cdl:ucsbec:qt9mx2c7jv

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    Keywords: exchange market instability; role of history and expectation;

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    1. Gregogy, A.W. & Pagan, A.R. & Smith, G.W., 1990. "Estimating Linear Quadratic Models With Integrated Processes," RCER Working Papers 247, University of Rochester - Center for Economic Research (RCER).
    2. Kennan, John, 1979. "The Estimation of Partial Adjustment Models with Rational Expectations," Econometrica, Econometric Society, vol. 47(6), pages 1441-55, November.
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