کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
964148 | 930483 | 2009 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Two currencies, one model? Evidence from the Wall Street Journal forecast poll
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We use the foreign exchange forecasts of the Wall Street Journal (WSJ) poll to analyze the expectation formation process of forecasters for the exchange rates of the euro and the yen vis-Ã -vis the U.S. dollar for the period 1999-2005. We also compare the expectation formation process with the actual exchange rate process. We find that most forecasters have contrarian exchange rate expectations, but our results also indicate significant heterogeneity between forecasters. While the actual exchange rate process of the yen/dollar exchange rate shows negative autocorrelation, the dollar/euro exchange rate exhibits positive autocorrelation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 19, Issue 4, October 2009, Pages 588-596
Journal: Journal of International Financial Markets, Institutions and Money - Volume 19, Issue 4, October 2009, Pages 588-596
نویسندگان
Michael Frenkel, Jan-Christoph Rülke, Georg Stadtmann,