| Titre | La cohérence temporelle des anticipations de change : une étude sur données d'enquêtes | |
|---|---|---|
| Auteur | Hélène Raymond, Agnès Bénassy-Quéré | |
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Revue | Economie et prévision |
| Numéro | no 123-124, 1996/2-3 Économie des taux de change | |
| Rubrique / Thématique | Fondamentaux |
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| Page | 97-111 | |
| Résumé anglais |
The Temporal Consistency of Exchange Rate Expectations: A Study Using Survey Data by Agnès Bénassy-Quéré and Hélène Raymond
The consistency of forecasts concerning different dates is a less stringent assumption than that of rational expectations, frequently rejected by survey data. However, temporal consistency tests are conditional on the forecast modeling adopted. The temporal consistency assumption is tested here for expectations relating to four exchange rates conditional on four forecast models. Three different surveys are processed and several models estimated to guarantee reasonably general results. Nevertheless, these results need to be made relative to the explanatory capacity of each model. The three-month exchange rate forecasts appear to comply with a naive model, while the longer run forecasts are more in line with a mixed extrapolative-adjustive-regressive model in which the regressive component is often preponderant. This variety of models used depending on the future time periods explains why the temporal consistency assumption is often rejected and, consequently, strengthens the assumption of irrational expectations. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1996_num_123_2_5792 |
