IDEAS home Printed from https://ideas.repec.org/r/nbr/nberwo/2577.html
   My bibliography  Save this item

On the Consistency of Short-run and Long-run Exchange Rate Expectations

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Verschoor, Willem F. C. & Wolff, Christian C. P., 2001. "Exchange risk premia, expectations formation and "news" in the Mexican peso/U.S. dollar forward exchange rate market," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 157-174.
  2. Richard Baldwin & Richard K. Lyons, 1988. "The Mutual Amplification Effect of Exchange Rate Volatility and Unresponsive Trade Prices," NBER Working Papers 2677, National Bureau of Economic Research, Inc.
  3. Zsolt Darvas & Zoltán Schepp, 2007. "Forecasting Exchange Rates of Major Currencies with Long Maturity Forward Rates," Working Papers 0705, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
  4. Albagli, Elias & Ceballos, Luis & Claro, Sebastian & Romero, Damian, 2024. "UIP deviations: Insights from event studies," Journal of International Economics, Elsevier, vol. 148(C).
  5. Silva Lopes, Artur, 1994. "A "hipótese das expectativas racionais": teoria e realidade (uma visita guiada à literatura até 1992) [The "rational expectations hypothesis": theory and reality (a guided tour ," MPRA Paper 9699, University Library of Munich, Germany, revised 23 Jul 2008.
  6. Kathryn Dominguez & Jeffrey A. Frankel, 1991. "Does foreign exchange intervention matter? disentangling the portfolio and expectations effects for the mark," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
  7. Fong, Wai Mun, 2013. "Footprints in the market: Hedge funds and the carry trade," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 41-59.
  8. Ronald MacDonald & Jun Nagayasu, 2013. "Currency forecast errors at times of low interest rates: evidence from survey data on the Yen/Dollar exchange rate," Working Papers 1321, University of Strathclyde Business School, Department of Economics.
  9. Pasricha, Gurnain Kaur, 2006. "Survey of Literature on Covered and Uncovered Interest Parities," MPRA Paper 22737, University Library of Munich, Germany.
  10. Jan Christoph Ruelke & Christian Pierdzioch & Georg Stadtmann, 2012. "On the internal consistency of short-term, medium-term and long-term oil price forecasts," Applied Economics, Taylor & Francis Journals, vol. 44(21), pages 2757-2765, July.
  11. Cheung, Y. -W. & Chinn, M. D., 1998. "Integration, cointegration and the forecast consistency of structural exchange rate models," Journal of International Money and Finance, Elsevier, vol. 17(5), pages 813-830, October.
  12. Frankel, Jeffrey, 1995. "How Well Do Foreign Exchange Markets Function: Might a Tobin Tax Help?," Center for International and Development Economics Research (CIDER) Working Papers 233420, University of California-Berkeley, Department of Economics.
  13. Saacke, Peter, 2002. "Technical analysis and the effectiveness of central bank intervention," Journal of International Money and Finance, Elsevier, vol. 21(4), pages 459-479, August.
  14. Jeffrey A. Frankel., 1992. "The Evolving Japanese Financial System, and the Cost of Capital," Center for International and Development Economics Research (CIDER) Working Papers C92-002, University of California at Berkeley.
  15. Jeffrey A. Frankel & Kenneth Froot, 1990. "Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market," NBER Working Papers 3470, National Bureau of Economic Research, Inc.
  16. Ronald MacDonald, 2000. "Expectations Formation and Risk in Three Financial Markets: Surveying What the Surveys Say," Journal of Economic Surveys, Wiley Blackwell, vol. 14(1), pages 69-100, February.
  17. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
  18. Agnès Bénassy-Quéré & Hélène Raymond, 1996. "Les erreurs de prévision de change ont-elles des caractéristiques hétérogènes ?," Économie et Prévision, Programme National Persée, vol. 125(4), pages 137-157.
  19. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
  20. Bruno Jetin, 2003. "How can a Currency Transaction Tax Stabilize Foreign Exchange Markets?," Post-Print halshs-03211712, HAL.
  21. Swarna Dutt, 1997. "A microstructural analysis of the exchange rate expectation formation process," Applied Economics Letters, Taylor & Francis Journals, vol. 4(9), pages 537-539.
  22. Chinn, Menzie D., 2006. "The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 7-21, February.
  23. Yin-Wong Cheung & Menzie D. Chinn & Ian W. Marsh, 2004. "How do UK-based foreign exchange dealers think their market operates?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(4), pages 289-306.
  24. Ito Takatoshi, 1994. "Short-Run and Long-Run Expectations of the Yen/Dollar Exchange Rate," Journal of the Japanese and International Economies, Elsevier, vol. 8(2), pages 119-143, June.
  25. Simón Sosvilla-Rivero & María del Carmen Ramos-Herrera, 2018. "Inflation, real economic growth and unemployment expectations: an empirical analysis based on the ECB survey of professional forecasters," Applied Economics, Taylor & Francis Journals, vol. 50(42), pages 4540-4555, September.
  26. Yin-Wong Cheung & Menzie D. Chinn, 1999. "Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders," NBER Working Papers 7417, National Bureau of Economic Research, Inc.
  27. Ito, Takatoshi, 1990. "Foreign Exchange Rate Expectations: Micro Survey Data," American Economic Review, American Economic Association, vol. 80(3), pages 434-449, June.
  28. Ruelke, Jan C. & Frenkel, Michael R. & Stadtmann, Georg, 2010. "Expectations on the yen/dollar exchange rate - Evidence from the Wall Street Journal forecast poll," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 355-368, September.
  29. Dumitriu, Ramona & Nistor, Costel & Stefanescu, Razvan, 2009. "Changes in the monthly effects from the Romanian foreign exchange market," MPRA Paper 41743, University Library of Munich, Germany, revised 08 May 2010.
  30. Simon Sosvilla-Rivero & Mar�a del Carmen Ramos-Herrera, 2013. "On the forecast accuracy and consistency of exchange rate expectations: the Spanish PwC Survey," Applied Economics Letters, Taylor & Francis Journals, vol. 20(2), pages 107-110, February.
  31. Hernando Vargas & Rocío Betnacourt, 2006. "Pension Fund Managers Behavior In The Foreign Exchange Market," Borradores de Economia 391, Banco de la Republica de Colombia.
  32. Darvas, Zsolt & Schepp, Zoltán, 2007. "Kelet-közép-európai devizaárfolyamok előrejelzése határidős árfolyamok segítségével [Forecasting the exchange rates of three Central-Eastern European currencies with forward exchange rates]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 501-528.
  33. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
  34. Richard Baldwin & Richard Lyons, 1989. "Exchange Rate Hysteresis: The Real Effects of Large vs Small Policy Misalignments," NBER Working Papers 2828, National Bureau of Economic Research, Inc.
  35. Ronald MacDonald & Ian W. Marsh, 1996. "Hétérogénéité des prévisionnistes : une exploration des anticipations sur le marché des changes," Économie et Prévision, Programme National Persée, vol. 125(4), pages 109-115.
  36. Zsolt Darvas & Zoltan Schepp, 2009. "Long maturity forward rates of major currencies are stationary," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1175-1181.
  37. Cheung, Yin-Wong & Chinn, Menzie David, 2001. "Currency traders and exchange rate dynamics: a survey of the US market," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 439-471, August.
  38. Hélène Tordjman, 1997. "Spéculation, hétérogénéité des agents et apprentissage : un modèle de "marché des changes artificiel"," Revue Économique, Programme National Persée, vol. 48(4), pages 869-897.
  39. Jeffrey A. Frankel, 1991. "Japanese Finance in the 1980s: A Survey," NBER Chapters, in: Trade with Japan: Has the Door Opened Wider?, pages 225-270, National Bureau of Economic Research, Inc.
  40. MacDonald, Ronald & Nagayasu, Jun, 2015. "Currency forecast errors and carry trades at times of low interest rates: Evidence from survey data on the yen/dollar exchange rate," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 1-19.
  41. Pierdzioch Christian & Stadtmann Georg, 2010. "Herdenverhalten von Wechselkursprognostikern? / Herd Behavior of Exchange Rate Forecasters?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 230(4), pages 436-453, August.
  42. Stefanescu, Razvan & Dumitriu, Ramona & Nistor, Costel, 2009. "Analysis of the dynamic relation between the currency rates and the interest rates from Romania and euro area before and during the financial crisis," MPRA Paper 41744, University Library of Munich, Germany, revised 04 Mar 2010.
  43. Swarna Dutt, 1994. "Consistency under exponential forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 1(1), pages 14-18.
  44. Jin-Kyu Jung & Michael Frenkel & Jan-Christoph Rülke, 2019. "On the consistency of central banks´ interest rate forecasts," Economics Bulletin, AccessEcon, vol. 39(1), pages 701-716.
  45. Swarna Dutt & Dipak Ghosh, 1997. "Are experts' expectations rational? A multicurrency analysis," Applied Economics, Taylor & Francis Journals, vol. 29(6), pages 803-812.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.