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Heterogeneity in exchange rate expectations : evidence on the chartist-fundamentalist approach


Menkhoff, Lukas; Rebitzky, Rafael R.; Schröder, Michael


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Abstract "This paper examines heterogeneity in exchange rate expectations. Whereas agents’ heterogeneity is key in modern exchange rate models, evidence on determinants of heterogeneity is weak thus far. Our sample, covering expectations from about 300 forecasters over 15 years, shows remarkable time variation in dispersion. Determinants of dispersion are consistent with the chartist-fundamentalist approach: misalignments of the exchange rate and exchange rate changes explain heterogeneity. The risk premium influences heterogeneity as well, but possible impacts from macroeconomic variables and exchange rate's volatility are dominated by the other determinants." [author's abstract]
Klassifikation Volkswirtschaftstheorie
Freie Schlagwörter Exchange rate; Heterogeneity; Dispersion; Chartists; Fundamentalists
Sprache Dokument Englisch
Publikationsjahr 2009
Seitenangabe S. 241-252
Zeitschriftentitel Journal of Economic Behavior & Organization, 70 (2009) 1-2
DOI http://dx.doi.org/10.1016/j.jebo.2009.01.007
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)