| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w0863
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| 来源ID | Working Paper 0863
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| Rational Expectations and the Foreign Exchange Market |
| Peter R. Hartley
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| 发表日期 | 1982-02-01
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| 出版年 | 1982
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| 语种 | 英语
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| 摘要 | Many models of exchange rate determination imply that movements in money supplies and demands should result in movements in exchange rates. Hence, if rational agents are attempting to forecast exchange rate movements, they should in the first instance forecast movements in the supplies of and demands for money balances. Furthermore, if these underlying variables follow some stable autoregressive processes agents should use those processes to make their forecasts. If we identify the forward rate with the market's expectation for the future spot rate, rationality of expectations will imply testable cross-equation restrictions in a joint model of the autoregressions and exchange rate forecasting equation. This strategy is implemented in the paper using data on the L UK/$US and DM/$US exchange rates from the recent floating rate period. |
| 主题 | International Economics
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| URL | https://www.nber.org/papers/w0863
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558075
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推荐引用方式
GB/T 7714 |
Peter R. Hartley. Rational Expectations and the Foreign Exchange Market. 1982.
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文件名：
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w0863.pdf
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格式：
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Adobe PDF
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