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Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data

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  • Georges Prat
  • Remzi Uctum

Abstract

Abstract. Using Consensus Economics survey data on JPY/USD and GBP/USD exchange rate expectations for the 3- and 12-month horizons over the period November 1989 – December 2012 we first show that expectations fail to unbiasedness tests and do not exhibit

Suggested Citation

  • Georges Prat & Remzi Uctum, 2014. "Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data," Working Papers 2014-235, Department of Research, Ipag Business School.
  • Handle: RePEc:ipg:wpaper:2014-235
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    References listed on IDEAS

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    1. repec:ipg:wpaper:2014-604 is not listed on IDEAS
    2. repec:ipg:wpaper:2014-576 is not listed on IDEAS
    3. repec:ipg:wpaper:2014-531 is not listed on IDEAS
    4. repec:ipg:wpaper:2014-564 is not listed on IDEAS
    5. repec:ipg:wpaper:2014-574 is not listed on IDEAS
    6. Imane El Ouadghiri, 2015. "Heterogeneity in Macroeconomic News Expectations: A disaggregate level analysis," EconomiX Working Papers 2015-17, University of Paris Nanterre, EconomiX.
    7. repec:ipg:wpaper:2014-550 is not listed on IDEAS

    More about this item

    Keywords

    expectation formation; exchange rates; dynamic heterogeneity; survey data.;

    JEL classification:

    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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