Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

32 Pages Posted: 15 Feb 2006

See all articles by Jeffrey A. Frankel

Jeffrey A. Frankel

Harvard University - Harvard Kennedy School (HKS); National Bureau of Economic Research (NBER)

Kenneth Froot

Harvard University Graduate School of Business; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: May 1990

Abstract

This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated estimates using survey data. Here we follow most of the theoretical and empirical literature in acting as if all market participants share the same expectation. The second half then addresses the possibility of heterogeneous expectations, particularly the distinction between "chartists" and "fundamentalists," and the implications for trading in the foreign exchange market and for the formation of speculative bubbles.

JEL Classification: 430

Suggested Citation

Frankel, Jeffrey A. and Froot, Kenneth, Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market (May 1990). IMF Working Paper No. 90/43, Available at SSRN: https://ssrn.com/abstract=884778

Jeffrey A. Frankel (Contact Author)

Harvard University - Harvard Kennedy School (HKS) ( email )

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Kenneth Froot

Harvard University Graduate School of Business ( email )

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HOME PAGE: http://https://scholar.harvard.edu/kenfroot

National Bureau of Economic Research (NBER) ( email )

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