Rationality of survey data and tests for market efficiency in the foreign exchange markets
利用预期调查数据检验外汇市场的理性预期假说和市场效率假说，发现即期汇率、预期汇率和远期汇率均遵循随机游走，协整检验支持理性预期但否定市场效率，并探究了市场效率失败的原因。
This paper tests the rational expectations hypothesis (REH) and the market efficiency hypothesis (MEH) in the foreign exchange markets, using survey data on expectations. Our results show that the spot exchange rates, expected exchange rates, and the forward rates all follow a random walk process. Hence, the cointegration theory is employed to test the REH and MEH. All the test statistics support the REH but fail to support the MEH. We use survey data on expectations to identify the causes behind this failure of the MEH..