Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market

• 成果类型: Article
• 署名作者: Elliott, G; Ito, T
• 署名单位: Hitotsubashi University; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(98)00061-0
• 发表日期: 1999
• 页码: 435-456
• 关键词: foreign exchange rate; expectations; forward rate; efficient markets

摘要

This paper examines the efficiency of the forward yen/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we use the survey data to calculate potential profits of individual forecasters based on a natural trading rule. We find that although the survey data are not the best predictor of future spot rates in terms of typical mean square forecast error criteria, the survey data can be used to obtain on average positive profits. However, these profits are small and highly variable. Similar results are found when we examine profits generated by a trading rule using regression forecasts. The profits are found to be correlated with risk type variables but not other available information. (C) 1999 Elsevier Science B.V. All rights reserved. JEL classification: F31; G14; G15.