| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2577 |
| 来源ID | Working Paper 2577 |
| On the Consistency of Short-run and Long-run Exchange Rate Expectations | |
| Kenneth A. Froot; Takatoshi Ito | |
| 发表日期 | 1988-05-01 |
| 出版年 | 1988 |
| 语种 | 英语 |
| 摘要 | This paper examines whether short-term exchange rate expectations move "too much" by comparing them with long-term expectations. We develop a set of nonlinear restrictions linking expectations at different forecast horizons. The restrictions impose consistency, a property weaker than rationality. We use ex- change rate survey data to measure expectations and then test whether consistency holds. The data show that a current, positive exchange rate shock leads agents to expect a higher long-run future spot rate when iterating forward their short-term expectations than when thinking directly about the long run. In this sense short-horizon expectations may overreact to current exchange rate changes. |
| URL | https://www.nber.org/papers/w2577 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/559836 |
| 推荐引用方式 GB/T 7714 | Kenneth A. Froot,Takatoshi Ito. On the Consistency of Short-run and Long-run Exchange Rate Expectations. 1988. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w2577.pdf（267KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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