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Exchange rate survey data: a disaggregated G-7 perspective

Article Abstract:

Surveys in the Group of Seven countries on exchange rate market expectations are used to compare forecasting accuracy between countries given the globalization of financial markets. As opposed to median measures, survey data better reflect heterogeneity in the international market. The results suggest that some agents were able to predict rates in an unbiased manner, implying that allavailable information had not been optimized. Biased expectations therefore reflect irrationality more than risk premia.

Prices and rates, Surveys, Pound (United Kingdom), Group of 7, Yen (Japan), Mark (Germany)

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Testing the efficiency of thin forward foreign exchange markets: an application of instrumental variable multiple regression with integrated, I(1), variables

Article Abstract:

Instrumental variable regression with the current spot rate as a stationary deflator is used to test the unbiasedness of the forward rate as a predictor of the future spot rate. Choice of instruments is found to be crucial as unbiasedness is rejected in the case of constant, time and polynomial trends, but not for sinusoidal instruments. The results imply that econometric and data quality considerations are major factors in unbiased exchange rate forecasting.

Usage, Regression analysis, Foreign exchange futures

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Keynes, the liquidity trap and the gold standard: a possible application of the rational expectations hypothesis

Article Abstract:

Analysis of the rational expectations hypothesis (REM) reveals that it can be applied to explain the liquidity trap theory of Keynes analysis of the gold standard. However, certain conceptual problems may arise in arriving at deductions if REM is applied to analyze equity fluctuations in the market.

Keynesian economics

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