Investor sentiment in the US-dollar:longer-term, nonlinear orientation on PPP

How is it possible that exchange rates move in the long run towards fundamentals, whileprofessionals form consistently irrational exchange rate expectations? We look at this puzzle from adifferent perspective by analyzing investor sentiment in the US-dollar market. First, long-horizonregressions show that investor sentiment is connected with exchange rate returns at longer horizons,i.e. more than two years.[...]

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Year of publication:	2007-09-01
Authors:	Menkhoff, Lukas ; Rebitzky, Rafael R.
Institutions:	Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject:	Investor \| Wechselkurs \| Regressionsanalyse

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0. Introduction
1. Data
2. Investor sentiment’s horizon
3. Determinants of investor sentiment
4. Threshold effects in investor sentiment
5. Conclusions
References

Persistent link: https://www.econbiz.de/10005867439