Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange rate Market

Graham Elliott () and Takatoshi Ito ()

Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: This paper examines the efficiency of the forward yan/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we use the survey data to calculate potential profits of individual forecasters based on a natural trading rule.We find that although the survey data are not the best predictor of future spot rates in terms of typical mean square forecast error criteria, the survey data can be used to obtain on average positive profits. However, these profits generated by a trading rule using regression forecasts. The profits are found to be correlated with risk type variables but not other available information.

Keywords: Foreign exchange rate; Expectations; Forward rate; and Efficient markets. (search for similar items in EconPapers)
JEL-codes: F15 F31 G14 (search for similar items in EconPapers)
Date: 1998-03
References: Add references at CitEc
Citations: View citations in EconPapers (3)

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

Related works:
Journal Article: Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market (1999)
Working Paper: Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market (1998)
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:hit:hituec:a347

Access Statistics for this paper

More papers in Discussion Paper Series from Institute of Economic Research, Hitotsubashi University Contact information at EDIRC.
Bibliographic data for series maintained by Hiromichi Miyake ().