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Satrajit Mukherjee

PhD Profile Satrajit Mukhejee

Degrees obtained: 

BSc Statistics (Hons) - University of Calcutta (India)
MSc in Risk Management and Financial Regulation, with Distinction - Queen’s University Belfast
Awards: First Derivatives Plc Prize - Best overall student in MSc Risk Management and Financial Regulation.

Country of Origin:  India

Research Title and a short description of project:
 
The working title of my PhD research is “A Novel Way of Testing Full Information Rational Expectations in Foreign Exchange Markets”.
 
My research involves remodeling Coibion and Gorodnichenko’s (2010) framework to recreate a model that can be used to test the Full Information Rational Expectations (FIRE) hypothesis, specifically in Foreign Exchange Markets. In doing so, three theoretical models motivate my empirical specifications, viz. the Lyons-Evans model, the sticky-information model and the class of noisy-information models.  The new framework is aimed to help identify whether rejections of the null of FIRE should be inferred as rejecting either the rationality of expectations or the full-information hypothesis. This novel model will also be able to quantify the economic implication of the deviation from the null and the underlying degree of information rigidity. My study engages very fine-grained (second or minute interval) data.