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 shortterm 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 InfoPaper provided by Texas Christian University, Department of Economics in its series Working Papers with number 200102.
Length: 20 pages
Date of creation: Feb 2001
Date of revision:
Publication status: Published in Journal of Post Keynesian Economics, Fall 2002, pages 33-49
empirical; exchange rates; expectations; Post Keynesian;
Other versions of this item:
- John T. Harvey, 2002. "The determinants of currency market forecasts: an empirical study," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 25(1), pages 33-49, January.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
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