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Past trend versus future expectation: test of exchange rate volatility

  • Author(s): Sengupta, Jati K.
  • Sfeir, Raymond
  • et al.
Abstract

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.

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