Are foreign exchange forecasts rational? New evidence from survey data

Kathryn M. E. Dominguez

No 281, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: 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.

Keywords: Foreign exchange rates; Rational expectations (Economic theory); Forecasting (search for similar items in EconPapers)
Date: 1986
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