| Titre | Formation des anticipations de change : l'hypothèse d'un processus mixte | |
|---|---|---|
| Auteur | Remzi Uctum, Georges Prat | |
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Revue | Economie et prévision |
| Numéro | no 125, 1996/4 | |
| Rubrique / Thématique | À propos des anticipations de change : nouveaux enseignements des données d'enquête |
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| Page | 117-135 | |
| Résumé anglais |
Formation of Exchange Rate Expectations: A Mixed Process Hypothesis Georges Prat and Remzi Uctum
This paper analyses how FF/$, DM/$ and Yen/$ exchange rate expectations form over three and twelve months. The basic principle uses the answers of a group of experts to the monthly Consensus Forecasts survey carried out since November 1989 (average of responses: "consensus"). The results obtained not only show that these "actual" expectations are not rational, but also that, when considered separately, the traditional extrapolative, regressive and adjustive procedures are unable to provide a valid explanation of these expectations. Overall, these results confirm those already obtained using other surveys.
The main breakthrough in this work is to show that by calculating a weighted average of the three traditional procedures, we obtain a satisfactory "explanation" of the exchange rate expectations found by Consensus Forecasts for the three currencies and the two time periods considered. 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_125_4_5814 |
