@techreport{NBERw4545,
 title = "Short-run and Long-run Expectations of the Yen/Dollar Exchange Rate",
 author = "Takatoshi Ito",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "4545",
 year = "1993",
 month = "November",
 URL = "http://www.nber.org/papers/w4545",
 abstract = {The survey data on the yen/dollar exchange rate, collected twice a month for eight years from 1985 to 1993, shows the following features.  First, the expected exchange rate changes in the short horizon (one month) are of the band-wagon type while the expected changes in the long horizon (three to six months) are of the mean- reversion type.  That is, foreign exchange traders infer from recent appreciations or depreciation that the recent change in the exchange rate will continue for a while, but the direction of changes will reverse, eventually.  Second, this result is robust for the entire sample period, which includes sub-periods of sharp yen appreciations and of relative calm, and with respect to different specifications. Third, the deviation from an equilibrium exchange rate does not yield a robust estimate in the regression of expectation formation. Although the history of the yen/dollar exchange rate fluctuations in the past two decades shows mean reversion over several years, they are not captured in the six-month expectations in the survey data.},
}