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- W3121864785 abstract "The survey data on the yen/dollar exchange rate, collected twice a month for eight years from 1985 to 1993, shows the following features. First, the expected exchange rate changes in the short horizon (one month) are of the band-wagon type while the expected changes in the long horizon (three to six months) are of the mean- reversion type. That is, foreign exchange traders infer from recent appreciations or depreciation that the recent change in the exchange rate will continue for a while, but the direction of changes will reverse, eventually. Second, this result is robust for the entire sample period, which includes sub-periods of sharp yen appreciations and of relative calm, and with respect to different specifications. Third, the deviation from an equilibrium exchange rate does not yield a robust estimate in the regression of expectation formation. Although the history of the yen/dollar exchange rate fluctuations in the past two decades shows mean reversion over several years, they are not captured in the six-month expectations in the survey data." @default.
- W3121864785 created "2021-02-01" @default.
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- W3121864785 date "1993-11-01" @default.
- W3121864785 modified "2023-09-25" @default.
- W3121864785 title "Short-run and Long-run Expectations of the Yen/Dollar Exchange Rate" @default.
- W3121864785 doi "https://doi.org/10.3386/w4545" @default.
- W3121864785 hasPublicationYear "1993" @default.
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