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- W3125088510 abstract "Survey data provide a measure of exchange rate expectations superior to the forward rate in that no risk premium interferes. We estimate extrapolative, adaptive, and regressive models of expectations. Static or random walk expectations and bandwagon expectations are rejected: current appreciation generates the expectation of future depreciation because variables other than the contemporaneous spot rate receive weight. In comparing expectations to the process governing the spot rate, we find statistically significant bias. No variable is as ubiquitous in international financial theory and yet as elusive empirically as investors' expectations regarding exchange rates. In the past, expectations have been modeled in an ad hoc way, often by using the forward exchange rate. There is, however, a serious problem with using the forward discount as the measure of the expected change in the exchange rate, in that the two may not be equal. The gap that may separate the forward discount and expected depreciation is generally interpreted as a risk premium. Most of the large empirical literature testing the unbiasedness of the forward exchange rate, for example, has found it necessary either arbitrarily to assume away the existence of the risk premium, if the aim" @default.
- W3125088510 created "2021-02-01" @default.
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- W3125088510 date "1985-07-01" @default.
- W3125088510 modified "2023-10-12" @default.
- W3125088510 title "Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations" @default.
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- W3125088510 doi "https://doi.org/10.3386/w1672" @default.
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