Are foreign exchange forecasts rational? New evidence from survey data

Kathryn 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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