IDEAS home Printed from https://ideas.repec.org/a/aea/aecrev/v77y1987i1p133-53.html
   My bibliography  Save this article

Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations

Author

Listed:
  • Frankel, Jeffrey A
  • Froot, Kenneth A

Abstract

Survey data provide a new measure of exchange-rate expectations superior to the forward rate in that no risk premium interferes. The authors test standard propositions using three sources of survey data. The authors estimate extrapolative, adaptive, and regressive models of expectations. Static or "random walk" expectations and bandwagon expectations are rejected: variables other than the contemporaneous spot rate receive positive weight. A 10 percent appreciation of the dollar generates an expectation of future depreciation over the coming year estimated at 2 percent. In comparing expectations to the true process governing the spot rate, the authors find statistically significant bias. Copyright 1987 by American Economic Association.

Suggested Citation

  • Frankel, Jeffrey A & Froot, Kenneth A, 1987. "Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations," American Economic Review, American Economic Association, vol. 77(1), pages 133-153, March.
  • Handle: RePEc:aea:aecrev:v:77:y:1987:i:1:p:133-53
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0002-8282%28198703%2977%3A1%3C133%3AUSDTTS%3E2.0.CO%3B2-H&origin=repec
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aea:aecrev:v:77:y:1987:i:1:p:133-53. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jane Voros) or (Michael P. Albert). General contact details of provider: http://edirc.repec.org/data/aeaaaea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.