The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate: Estimates for the Yen-Dollar Rate

Heterogeneous Expectations and Tests of Efficiency in the Yen/dollar Forward Exchange Rate Market By

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

The Appropriate Exchange Rate System and the Regulation and Forecast of Exchange Rate for Iran's Economy

Testing for Long-term Memory in Yen / Dollar Exchange Rate

ABSRTRACT This paper exmines evidence of long-term memory in the yen/dollar price change as well as in the daily estimate of volatility of the exchange rate series. The methodology used is due to Lo (1989) which is robust to the presence of heteroscedasticity and is applied to a ten year data set. The result shows no evidence of long-term memory in the price change series indicating efficient p...

Exchange rate pass-through in Iran: Exchange rate effects on the consumer price index

The purpose of this study is to find an accurate estimate of the exchange rate-CPI relationship in Iran over the past three decades. The results of the Granger causality test in the frequency domain demonstrate a strong causation from the exchange rate to CPI especially in the long run. The results of the wavelet analysis show that in the currency crisis periods, the exchange rate-CPI correlati...

Synchronized Business Cycles in East Asia and Fluctuations in the Yen/Dollar Exchange Rate

Should the Japanese yen be depreciated to revive the Japanese economy? Since the bursting of the stock-and land-market bubbles in 1990-91, the Japanese economy has fallen into its deepest postwar recession. Because fiscal policy and monetary policy are at their limits in combating recession and deflation, a possible foreign exchange policy “solution” has gained wide attention. For instance, McC...