Foreign Exchange Rate Expectations: Micro Survey Data
This paper analyzes the panel data of biweekly surveys on the yen/dollar exchange rate expectations of forty-four institutions for two years and contains four major findings. First, market participants are heterogeneous; that is, significant "individual effects" exist in their expectation formation. Second, the individual effects have a characteristic of "wishful expectations": exporters expect yen depreciation and importers expect yen appreciation (relative to others). Third, many violate the rational expectations hypothesis. Fourth, forecasts with long horizons show less yen appreciation than those with short horizons. Cross-equation constraints implied by the consistency of the forecast term structure are strongly rejected in the data. Copyright 1990 by American Economic Association.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 80 (1990)
Issue (Month): 3 (June)
|Contact details of provider:|| Web page: https://www.aeaweb.org/aer/|
More information through EDIRC
|Order Information:||Web: https://www.aeaweb.org/subscribe.html|
References listed on IDEAS
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.:
- Takatoshi Ito, 1984.
"Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity,"
NBER Working Papers
1493, National Bureau of Economic Research, Inc.
- Ito, Takatoshi, 1988. "Use of (Time-Domain) Vector Autoregressions to Test Uncovered Interest Parity," The Review of Economics and Statistics, MIT Press, vol. 70(2), pages 296-305, May.
- Frankel, Jeff & Froot, Ken, 1986.
"Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations,"
Department of Economics, Working Paper Series
qt1972q8wm, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- 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 133-53, March.
- Paul Krugman, 1986. "Pricing to Market when the Exchange Rate Changes," NBER Working Papers 1926, National Bureau of Economic Research, Inc.
- Froot, Kenneth A. & Ito, Takatoshi, 1989.
"On the consistency of short-run and long-run exchange rate expectations,"
Journal of International Money and Finance,
Elsevier, vol. 8(4), pages 487-510, December.
- Kenneth A. Froot & Takatoshi Ito, 1988. "On the Consistency of Short-run and Long-run Exchange Rate Expectations," NBER Working Papers 2577, National Bureau of Economic Research, Inc.
- Kathryn Dominguez, 1986.
"Are foreign exchange forecasts rational? New evidence from survey data,"
International Finance Discussion Papers
281, Board of Governors of the Federal Reserve System (U.S.).
- Dominguez, Kathryn M., 1986. "Are foreign exchange forecasts rational? : New evidence from survey data," Economics Letters, Elsevier, vol. 21(3), pages 277-281.
- Jeffrey A. Frankel & Kenneth A. Froot, 1985. "Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations," NBER Working Papers 1672, National Bureau of Economic Research, Inc.
- Sargent, Thomas J., 1979.
"A note on maximum likelihood estimation of the rational expectations model of the term structure,"
Journal of Monetary Economics,
Elsevier, vol. 5(1), pages 133-143, January.
- Thomas J. Sargent, 1978. "A note on maximum likelihood estimation of the rational expectations model of the term structure," Staff Report 26, Federal Reserve Bank of Minneapolis.
- Ito, Takatoshi & Quah, Danny, 1989. "Hypothesis Testing with Restricted Spectral Density Matrices, with an Application to Uncovered Interest Parity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 30(1), pages 203-15, February.
- Jeffrey A. Frankel & Kenneth A. Froot, 1987.
"Short-term and Long-Term Expectations of the Yen/Dollar Exchange Rate: Evidence from Survey Data,"
NBER Working Papers
2216, National Bureau of Economic Research, Inc.
- Frankel, Jeffrey A. & Froot, Kenneth A., 1987. "Short-term and long-term expectations of the yen/dollar exchange rate: Evidence from survey data," Journal of the Japanese and International Economies, Elsevier, vol. 1(3), pages 249-274, September.
- Jeffrey A. Frankel & Kenneth A. Froot, 1986. "Short-term and long-term expectations of the yen/dollar exchange rate: evidence from survey data," International Finance Discussion Papers 292, Board of Governors of the Federal Reserve System (U.S.).
When requesting a correction, please mention this item's handle: RePEc:aea:aecrev:v:80:y:1990:i:3:p:434-49. 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)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.