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A microstructural analysis of the exchange rate expectation formation process

✍ Scribed by Dutt, Swarna D.

Book ID
126943784
Publisher
Taylor and Francis Group
Year
1997
Tongue
English
Weight
103 KB
Volume
4
Category
Article
ISSN
1350-4851

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This paper focuses on the cross-dynamics of exchange rate expectations over different time-scales. We use overthe-counter currency options on the euro, Japanese yen, and British pound vis-a`-vis the U.S. dollar to extract expected probability density functions of future exchange rates, and apply rec