Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data

Georges Prat and Remzi Uctum

No 2014-235, Working Papers from Department of Research, Ipag Business School

Abstract: Abstract. Using Consensus Economics survey data on JPY/USD and GBP/USD exchange rate expectations for the 3- and 12-month horizons over the period November 1989 – December 2012 we first show that expectations fail to unbiasedness tests and do not exhibit

Keywords: expectation formation; exchange rates; dynamic heterogeneity; survey data. (search for similar items in EconPapers)
JEL-codes: D84 F31 G14 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2014-01-01
New Economics Papers: this item is included in nep-mon
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Citations: View citations in EconPapers (8)

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Related works:
Working Paper: Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data (2015)
Working Paper: Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data (2014)
Working Paper: Expectation formation in the foreign exchange market: a time varying heterogeneity approach using survey data (2014)
Working Paper: Expectation formation in the foreign exchange market: a time varying heterogeneity approach using survey data (2014)
Working Paper: Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data (2014)
Working Paper: Expectation formation in the foreign exchange market: a time varying heterogeneity approach using survey data (2014)
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