[eng] Formation of Exchange Rate Expectations: A Mixed Process Hypothesis Georges Prat and Remzi Uctum . This paper analyses how FF/$, DM/$ and Yen/$ exchange rate expectations form over three and twelve months. The basic principle uses the answers of a group of experts to the monthly Consensus...

[spa] Formación de las anticipaciones en la Boisa, . por Georges Prat.. . En est artículo se analiza cómo los "expertos" (hombres de negocios, economistas, banqueros) forman sus variaciones anticipadas de índice de la cotización de las acciones industnales. Las anticipaciones se miden por...

E31, E43, N01.

Using Consensus Economics? monthly surveys, we show that experts? interest rate expectations in the Eurofranc market do not verify the rational expectations hypothesis. These expectations are found to be generated by a mixed process combining the traditional adaptive, regressive and...

This article aims to study stock price adjustments towards fundamentals due to the existence of arbitrage costs defined as the sum of transaction costs and a risky arbitrage premium associated with the uncertainty characterizing the fundamentals. Accordingly, it is shown that a two regime Smooth...

Using Consensus Forecast survey data on WTI oil price expectations for 3- and 12-month horizons over the period November 1989 to December 2008, we find that the rational expectation hypothesis is rejected and that none of the traditional extrapolative, regressive and adaptive processes fits the...

Using Consensus Economics survey data on experts’ expectations, we aim to model the 3- and 12-month ahead ex-ante risk premia on the JPY/USD and the GBP/USD exchange markets. For each market and at a given horizon, we show that the risk premium is well determined by the conditional expected...

Analysing how price expectations are formed is essential since the dynamics of market prices are mainly driven by the agent’s belief concerning the future values of prices and by the uncertainty characterising these values. This is a difficult task as prices are highly volatile in most markets...