The Determinants of Currency Market Forecasts: An Empirical Study

John Harvey

No 200102, Working Papers from Texas Christian University, Department of Economics

Abstract: Empirical studies using surveys of exchange rate expectations have become very popular in the literature. The majority have concluded that shortterm currency market activity appears to be inconsistent with the standard neoclassical characterization and that, as a consequence, economists should shift their attention to the long run. This paper, rather than using foreign exchange surveys as an argument for ignoring the short run, treats them as a means of understanding it. To that end, an empirical test is conducted in which the survey results serve as the dependent variable. The results indicate that the expectational variables are not random, but exhibit a pattern. It is further shown that psychological factors play an important role in determining expectations, thus offering support for the Post Keynesian view of currency markets.

Keywords: empirical; exchange rates; expectations; Post Keynesian (search for similar items in EconPapers)
JEL-codes: D84 F31 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2001-02
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Published in Journal of Post Keynesian Economics, Fall 2002, pages 33-49

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http://www.econ.tcu.edu/RePEc/tcu/wpaper/wp01-02.pdf First version, 2001 (application/pdf)

Related works:
Journal Article: The determinants of currency market forecasts: an empirical study (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:tcu:wpaper:200102

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