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On the short- and long-run efficiency of energy and precious metal markets

✍ Scribed by Arouri, Mohamed El Hedi; Hammoudeh, Shawkat; Lahiani, Amine; Nguyen, Duc Khuong

Book ID
122184398
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
873 KB
Volume
40
Category
Article
ISSN
0140-9883

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## ABSTRACT We examine consistency properties of the exchange rate expectation formation process of short‐run and long‐run forecasts in the dollar/euro and yen/dollar market. Applying nonlinear consistency restrictions we show that in a simple expectation formation structure short‐run forecasts are