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Are foreign exchange forecasts rational? New evidence from survey data

Tests of rational expectations in foreign exchange markets have been inconclusive because of disagreement over the underlying asset pricing model. This paper uses a newly available set of data on foreign exchange forecasts to examine directly expectations formation in four foreign currency markets. Generally, results do not support the simple rational expectations hypothesis.
Year of publication:
1986
Authors: Dominguez, Kathryn M.
Institutions: Federal Reserve Board (Board of Governors of the Federal Reserve System)
Subject: Foreign exchange rates | Rational expectations (Economic theory) | Forecasting
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Type of publication: Book / Working Paper
Notes:
Number 281
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Persistent link: https://www.econbiz.de/10005712778
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