New Results on the Rationality of Survey Measures of Exchange-Rate Expectations
In light of research questioning the usefulness of economists’ models of exchange-rate determination, this paper investigates the rationality of survey measures of expectations for deutsche mark/dollar exchange rates for 1989-97. Using Liu and Maddala's (1992) ‘cointegration’ test, the author cannot reject the assumption that survey measures are unbiased exchange-rate forecasts. This finding is related to market participants' anticipation of the impact of economic policies.
Suggested citation: Osterberg, William P. “New Results on the Rationality of Survey Measures of Exchange-Rate Expectations,” Federal Reserve Bank of Cleveland, Economic Review, vol. 36, no. 1, pp. 14-21, 01.01.2000.