An empirical evaluation of the rationality of eurocurrency market expectations |
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Authors: | Stephen Beveridge Rolf Mirus |
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Affiliation: | University of Alberta, Edmonton, Alberta T6G 2G1, Canada |
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Abstract: | This paper is concerned with testing the rationality of the Eurocurrency market's expectations of future spot rates. Whereas most previous studies have concentrated on analyzing spot rates, we develop and test an observable expectations series. The results show that although two of the three expectations series examined are unbiased, all three series ignore information readily obtainable from past spot rates. |
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