全球智库信息集成服务系统(G2TT): Heterogeneous Expectations and Tests of Efficiency in the Yen\/Dollar Forward Foreign Exchange Rate Market

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w5376
来源ID	Working Paper 5376
	Heterogeneous Expectations and Tests of Efficiency in the Yen\/Dollar Forward Foreign Exchange Rate Market
	Graham Elliott; Takatoshi Ito
发表日期	1995-12-01
出版年	1995
语种	英语
摘要	This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey data to calculate directly potential profits of individual forecasters based on a natural trading rule. We find that although the survey data are not the best predictor of future spot rate in terms of typical mean square forecast error criteria, the survey data can be used to obtain on average positive profits. However, these profits are small and highly variable. We also examine profits generated by a trading rule using regression forecasts, where forward premium is an explanatory variable. These profits are also small and highly variable.
主题	International Economics ; International Finance ; Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w5376
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/562831
推荐引用方式 GB/T 7714	Graham Elliott,Takatoshi Ito. Heterogeneous Expectations and Tests of Efficiency in the Yen\/Dollar Forward Foreign Exchange Rate Market. 1995.

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
w5376.pdf（765KB）	智库出版物		限制开放	CC BY-NC-SA	浏览