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Exchange rate and price dynamics under adaptive and rational expectations: An empirical analysis

✍ Scribed by David H. Papell


Book ID
116116544
Publisher
Elsevier Science
Year
1992
Tongue
English
Weight
1022 KB
Volume
11
Category
Article
ISSN
0261-5606

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Cross-dynamics of exchange rate expectat
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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