Past trend versus future expectation: test of exchange rate volatility
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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- 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).
- 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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