| Tekijä: | MacDonald, R. Torrance, T. S. |
| Otsikko: | Expectations formation and risk in four foreign exchange markets. |
| Lehti: | Oxford Economic Papers
1990 : JUL, VOL. 42:3, p. 544-561 |
| Asiasana: | FOREIGN EXCHANGE MARKET RATIONAL EXPECTATIONS RISK |
| Kieli: | eng |
| Tiivistelmä: | Survey data are used to discern whether irrationality or risk aversion explains the rejection of the joint unbiasedness hypothesis. Expected exchange rates against the USD of the deutschmark, the Japanese yen, the Swiss franc and the British pound are analyzed. The data base is sufficiently large to allow test of various expectational mechanism for individual currencies, and examination of the behaviour of exchange rate expectations. The data sample encompasses a period in which the major currencies were generally depreciating against the USD and a period in which they were appreciating. |
SCIMA