Past trend versus future expectation: test of exchange rate volatility
- Author(s): Sengupta, Jati K.;
- Sfeir, Raymond
- et al.
Which of the two forces, past trends or future expectations plays a more dominant role in exchange market volatility? This hypothesis is econometrically tested here for four advanced industrial countries, France, UK, Japan and Germany over the period 1985 to 1995.