Foreign Exchange Rate Expectations: Micro Survey Data

45 Pages Posted: 3 May 2004 Last revised: 29 Oct 2022

See all articles by Takatoshi Ito

Takatoshi Ito

University of Tokyo - Faculty of Economics; National Bureau of Economic Research (NBER); Ministry of Finance, Tokyo

Date Written: August 1988

Abstract

This paper analyzes the panel data of bi-weekly surveys, conducted by the Japan Center for International Finance, on the yen/dollar exchange rate expectations of forty-four institutions for two years. There are three major findings in this paper. First, market participants are found to be heterogeneous. There are significant "individual effects" in their expectation formation. Second, many institutions are found to violate the rational expectation hypothesis. Third, forecasts with long horizons showed less yen appreciation than those with short horizons. Cross-equation constraints implied by the consistencyof the forecast term structure are strongly rejected in the data.

Suggested Citation

Ito, Takatoshi, Foreign Exchange Rate Expectations: Micro Survey Data (August 1988). NBER Working Paper No. w2679, Available at SSRN: https://ssrn.com/abstract=439599

Takatoshi Ito (Contact Author)

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