Journal Article
New results on the rationality of survey measures of exchange-rate expectations
Abstract: In light of research questioning the usefulness of economists' models of exchange-rate determination, this paper investigates the rationality of survey measures of expectations for Deutschmark/dollar exchange rates for 1989-97. Using Liu and Maddala's (1992) \"restricted cointegration\" test, the author cannot reject the assumption that survey measures are unbiased exchange-rate forecasts. This finding is related to market participants' anticipation of the impact of economic policies.
Access Documents
File(s):
File format is application/pdf
https://fraser.stlouisfed.org/title/economic-review-federal-reserve-bank-cleveland-1328/2000-quarter-1-4661?page=16
Description: Full text
Authors
Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Economic Review
Publication Date: 2000
Issue: Q I
Pages: 14-21