Are Foreign Exchange Market Forecasters "Rational"? Some Survey-Based Tests

Ronald MacDonald

The Manchester School of Economic & Social Studies, 1990, vol. 58, issue 3, 229-41

Abstract: In this paper, a number of rationality tests are implemented using survey data on exchange rate expectations for four currencies (dollar-sterling, deutsche mark-dollar, yen-dollar, and Swiss franc-dollar). It is demonstrated, inter alia, that the survey expectations are biased, orthogonal to an information set consisting of lagged survey forecast errors, but not orthogonal to an information set consisting of lagged forward premiums. Copyright 1990 by Blackwell Publishers Ltd and The Victoria University of Manchester

Date: 1990
References: Add references at CitEc
Citations: View citations in EconPapers (13)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: ARE FOREIGN EXCHANGE MARKET FORECASTERS 'RATIONAL'?: SOME SURVEY BASED TESTS
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:manch2:v:58:y:1990:i:3:p:229-41

Access Statistics for this article

More articles in The Manchester School of Economic & Social Studies from University of Manchester Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().