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Applied Economics Letters Volume 5, 1998 - Issue 3
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Original Articles

Past trend versus future expectation: test of exchange rate volatility

Jati K. Sengupta University of California, Santa Barbara, CA, USA
&
Raymond Sfeir School of Business, Chapman University, Orange, CA, USA
Pages 139-142 | Received 05 Nov 1996, Published online: 11 Mar 2008
 
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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 advised industrial countries, France, UK, Japan and Germany over the period 1985–95.

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