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

Listed author(s):
  • Georges Prat
  • Remzi Uctum

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

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Paper provided by Department of Research, Ipag Business School in its series Working Papers with number 2014-235.

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Length: 29 pages
Date of creation: 01 Jan 2014
Handle: RePEc:ipg:wpaper:2014-235
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  25. Kaminsky, Graciela, 1993. "Is There a Peso Problem? Evidence from the Dollar/Pound Exchange Rate, 1976-1987," American Economic Review, American Economic Association, vol. 83(3), pages 450-472, June.
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  27. repec:dau:papers:123456789/10086 is not listed on IDEAS
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  35. Mark, Nelson C, 1995. "Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability," American Economic Review, American Economic Association, vol. 85(1), pages 201-218, March.
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