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Board of Governors of the Federal Reserve System (U.S.)
International Finance Discussion Papers
Are foreign exchange forecasts rational? New evidence from survey data
Kathryn Dominguez
Abstract

Tests of rational expectations in foreign exchange markets have been inconclusive because of disagreement over the underlying asset pricing model. This paper uses a newly available set of data on foreign exchange forecasts to examine directly expectations formation in four foreign currency markets. Generally, results do not support the simple rational expectations hypothesis.


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Kathryn Dominguez, Are foreign exchange forecasts rational? New evidence from survey data, Board of Governors of the Federal Reserve System (U.S.), International Finance Discussion Papers 281, 1986.
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Keywords: Foreign exchange rates ; Rational expectations (Economic theory) ; Forecasting
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