Past trend versus future expectation: test of exchange rate volatility

Jati Sengupta and Raymond Sfeir

Applied Economics Letters, 1998, vol. 5, issue 3, 139-142

Abstract: Which of the two forces, past trends or future expectations plays a more dominant role in exchange market volatility? This hypothesis is econometrically tested here for four advised industrial countries, France, UK, Japan and Germany over the period 1985-95.

Date: 1998
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DOI: 10.1080/758521369

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