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Titre Formation des anticipations de change : l'hypothèse d'un processus mixte
Auteur Remzi Uctum, Georges Prat
Mir@bel Revue Economie et prévision
Numéro no 125, 1996/4
Rubrique / Thématique
À propos des anticipations de change : nouveaux enseignements des données d'enquête
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.
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