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Past trend versus future expectation: test of exchange rate volatility

Author

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  • Sengupta, Jati K.
  • Sfeir, Raymond

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.

Suggested Citation

  • Sengupta, Jati K. & Sfeir, Raymond, 1997. "Past trend versus future expectation: test of exchange rate volatility," University of California at Santa Barbara, Economics Working Paper Series qt9mx2c7jv, Department of Economics, UC Santa Barbara.
  • Handle: RePEc:cdl:ucsbec:qt9mx2c7jv
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    References listed on IDEAS

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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 1441-1455, November.
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    1. repec:bla:econpa:v:35:y:2016:i:4:p:389-402 is not listed on IDEAS

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