Expectations formation and risk in three financial markets: surveying what the surveys say

MacDonald, R. (2000) Expectations formation and risk in three financial markets: surveying what the surveys say. Journal of Economic Surveys, 14(1), pp. 69-100. (doi:10.1111/1467-6419.00105)

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Abstract

This paper attempts to provide a logical overview of the literature which exploits survey data to examine issues of expectations formation and risk aversion in financial markets. Our survey suggests that: short term expectations are excessively volatile and exhibit bandwagon effects, while longer term expectations appear to be regressive and therefore stabilising; in bond and foreign exchange markets the standard result of forward rate biasedness is due in part to time-varying premia; recent research using disaggregate foreign exchange survey data demonstrates the importance of heterogeneous expectations.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: MacDonald, R.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Journal of Economic Surveys
Publisher:Wiley-Blackwell Publishing Ltd.
ISSN:0950-0804
ISSN (Online):1467-6419

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