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The effects of uncertainty and incomplete information in a foreign exchange market subject to noisy rational expectations
List of Titles
The effects of uncertainty and incomplete information in a foreign exchange market subject to noisy rational expectations
Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.3/156
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- Title
- The effects of uncertainty and incomplete information in a foreign exchange market subject to noisy rational expectations
- Author(s)
- Wilson, Edgar J.
- Abstract
- A short run asset demand model is solved for the spot foreign exchange rate using the Lucas method of undetermined coefficients. The incorporation of noisy rational expectations into the model allows the possibility of uncertainty in the market such that individuals who rely on the spot rate for information may at times obtain ambiguous siqnals. The spot rate, under these circumstances, only imperfectly conveys information and a transitory informational disequilibrium may result. A Bayesian approach is adopted in order to incorporate prior beliefs and make Bayesian inference about the model using sample Australian data.
- Publication type
- Working paper
- Research centre
- Swinburne Institute of Technology. Faculty of Business
- Publication year
- 1987
- Keyword(s)
- Demand for money -- Mathematical models; Foreign exchange futures -- Mathematical models
- Publisher
- Faculty of Business, Swinburne Institute of Technology
- Copyright
- Copyright © 1987 Edgar J. Wilson. This work is reproduced in good faith. Every reasonable effort has been made to trace the copyright owner. For more information please contact researchbank@swin.edu.au.
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