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Rational Speculative Bubbles and Duration Dependence in Exchange Rates : An Analysis of Five Currencies

Jirasakuldech, Benjamas; Emekter, Riza; Went, Peter - 2009

We investigate the presence of rational speculative bubbles in the exchange rates of the British pound, the Canadian …, indicating no rational speculative bubbles. Further, the cointegration test indicates evidence of a long-run relationship between … of the non-parametric duration dependence test suggest that rational expectations bubbles do not affect these exchange …

Persistent link: https://www.econbiz.de/10014210452

Empirical research on exchange rate expectations : macro and micro perspectives

Rebitzky, Rafael R. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003580431

Fundamental and non-fundamental equilibria in the foreign exchange market : a behavioural finance framework

De Grauwe, Paul (contributor); Dieci, Roberto (contributor); … - 2005

which bubbles and crashes occur at unpredictable moments. We contrast these ʺbehaviouralʺ bubbles with ʺrationalʺ bubbles. …

Persistent link: https://www.econbiz.de/10002749785

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Frankel, Jeffrey A. - 2010

The paper presents new empirical results that elucidate the dynamics of the foreign exchange market. The first half of the paper is an updated study of the exchange rate expectations held by market participants, as reflected in responses to surveys, and contains the following conclusions. First,...

Persistent link: https://www.econbiz.de/10012763525

Fundamental and Non-Fundamental Equilibria in the Foreign Exchange Market. A Behavioural Finance Framework

De Grauwe, Paul; Dieci, Roberto; Grimaldi, Marianna - 2021

which bubbles and crashes occur at unpredictable moments. We contrast these "behavioural" bubbles with "rational" bubbles …

Persistent link: https://www.econbiz.de/10013318629

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Frankel, Jeffrey A. - 1990

Persistent link: https://www.econbiz.de/10012475557

Foreign Currency Bubbles

Jarrow, Robert A. - 2010

This paper develops a new model for studying foreign currency exchange rate bubbles. The model constructed is a … insights into our understanding of exchange rate bubbles and it can be utilized empirically to test for their existence. The … new insights are: (i) exchange rate bubbles can be negative, in contrast to asset price bubbles, (ii) exchange rate …

Persistent link: https://www.econbiz.de/10013141966

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

International Monetary Fund - 1990

This paper seeks to advance the discussion of monetary policy strategies in several ways. One involves a comparison of targets for nominal GNP and the price level, with emphasis on specificational robustness and implications for output variability. A second pertains to various “indicator”...

Persistent link: https://www.econbiz.de/10014396173

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

International Monetary Fund - 1990

speculative bubbles …

Persistent link: https://www.econbiz.de/10014396182

A heterogenous agents model usable for the analysis of currency transaction taxes

Demary, Markus (contributor) - 2007

We extend the model by DeGrauwe and Grimaldi (2006, EER) by currency transaction taxes. This model explains the exchange rate behavior by the interaction of heterogeneous traders who display either trend chasing behavior or rely on a return of the exchange rate back to its arbitrage free...

Persistent link: https://www.econbiz.de/10003587030

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