Past trend versus future expectation: test of exchange rate volatility

Jati K. Sengupta and Raymond Sfeir

University of California at Santa Barbara, Economics Working Paper Series from Department of Economics, UC Santa Barbara

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 advanced industrial countries, France, UK, Japan and Germany over the period 1985 to 1995.

Keywords: exchange market instability; role of history and expectation (search for similar items in EconPapers)
Date: 1997-01-01
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Citations: View citations in EconPapers (1)

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