Using a new survey data set of matched exchange rate and interest rate expectations for eight currencies relative to the German mark, we examine empirically the relationship between exchange rate returns, `news' and risk premia. "News" on interest differentials enters significantly in equations...

Using a new survey data set of matched exchange rate and interest rate expectations for eight currencies relative to the German mark, we examine empirically the relationship between exchange rate returns, "news" and risk premia. "News" on interest differentials enters significantly in equations...

This paper examines the existence of heterogeneous expectations among market participants in the foreign exchange market by using a data set of individual market expectations for the major currencies, and approaches the formation of expectations from a bounded-rationality approach. We find that...

It is common wisdom that the 9/11 terrorist attacks boosted political and financial uncertainty and resulted in severe stock market meltdowns in the months after the attacks. Taking a sectoral focus of the market for US common stock, we apply statistical extreme value analysis (EVT) to assess...

This paper examines the dispersion of beliefs of market participants in the foreign exchange market and their relative role in forming exchange rate expectations. We find distinct variations in the level of dispersion and document that dispersion arises because of a combined effect of market...

In this article we reconsider the Froot and Frankel (1989) results on the sources of forward discount bias. We question the economic validity of some estimation restrictions which they impose and, thus, are led to question some of their results. We employ a new exchange rate survey database that...

In this article we reconsider the Foot and Frankel results on the sources of forward discount bias. We question the economic validity of some estimation restrictions that they impose and, thus, are led to question some of their results. We employ a new exchange rate survey database that includes...