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https://nbn-resolving.org/urn:nbn:de:0168-ssoar-283125

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

[Zeitschriftenartikel]

Menkhoff, Lukas
Rebitzky, Rafael R.
Schröder, Michael

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 variati... mehr

"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]... weniger

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
https://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)


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© 2007 - 2025 Social Science Open Access Repository (SSOAR).
Based on DSpace, Copyright (c) 2002-2022, DuraSpace. All rights reserved.