This dissertation presents a study of the nature of the formation of expectations for, and empirical patterns of, the Deutsche Mark/dollar and Yen/dollar exchange rates for the time period of July 1976 to June 1986. A discussion of the interdependent characteristics of monetary policy formation and institutional aspects of the central banks of the United States, West Germany, and Japan follows, with the purpose of characterizing policy interaction effects on formation of expectations in the 1976-1980 and 1980-85 subperiods--prior to, and after, the inception of significant changes in monetary policies in each of the three countries. / The statistical studies produce conflicting results, but the strongest indication is for behavior of exchange rate levels consistent with rational expectation theories of market efficiency for each of the two subperiods, but not for the full period. In particular, there is indication of serial correlation in the residuals for the full period tests. Variance ratio tests for trend reversion suggest persistence of returns which increase by a degree less than proportional to the increase in length of lag period, suggesting reversion to a central value. / Source: Dissertation Abstracts International, Volume: 52-05, Section: A, page: 1836. / Major Professor: George Macesich. / Thesis (Ph.D.)--The Florida State University, 1991.
| Identifer | oai:union.ndltd.org:fsu.edu/oai:fsu.digital.flvc.org:fsu_76415 |
| Contributors | Stratis, Nicholas., Florida State University |
| Source Sets | Florida State University |
| Language | English |
| Detected Language | English |
| Type | Text |
| Format | 222 p. |
| Rights | On campus use only. |
| Relation | Dissertation Abstracts International |
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