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Past trend versus future expectation: test of exchange rate volatility

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  • Jati Sengupta
  • Raymond Sfeir

Abstract

Which of the two forces, past trends or future expectations plays a more dominant role in exchange market volatility? This hypothesis is econometrically tested here for four advised industrial countries, France, UK, Japan and Germany over the period 1985-95.

Suggested Citation

  • Jati Sengupta & Raymond Sfeir, 1998. "Past trend versus future expectation: test of exchange rate volatility," Applied Economics Letters, Taylor & Francis Journals, vol. 5(3), pages 139-142.
    • Handle: RePEc:taf:apeclt:v:5:y:1998:i:3:p:139-142
    DOI: 10.1080/758521369
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    References listed on IDEAS

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    1. Kennan, John, 1979. "The Estimation of Partial Adjustment Models with Rational Expectations," Econometrica, Econometric Society, vol. 47(6), pages 1441-1455, November.
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