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International Finance Discussion Papers
The International Finance Discussion Papers logo links to the International Finance Discussion Papers home page Are Foreign Exchange Forecasts Rational? New Evidence From Survey Data
Kathryn M. Dominguez
1986-281  (May 1986)

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.

Full paper(455 KB PDF)

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