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The Scapegoat Theory of Exchange Rates: The First Tests
Fratzscher, Marcel; Sarno, Lucio; Zinna, Gabriele - C.E.P.R. Discussion Papers - 2012
This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...
Persistent link: https://www.econbiz.de/10011084052
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The Role of Endogenous Uncertainty in the Forward Discount Bias
Black, Stanley Wilkes - In: Rivista Internazionale di Scienze Sociali 115 (2007) 3, pp. 327-364
This study examines what role the concept of endogenous uncertainty can have in explaining a phenomenon of international financial markets, the forward discount bias. The forward discount bias puzzle is unexplained by models assuming economic agents have full knowledge of the structure of the...
Persistent link: https://www.econbiz.de/10010878167
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Heterogeneity of beliefs and information rigidity in the crude oil market : evidence from survey data
Czudaj, Robert - In: European economic review : EER 143 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013348720
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Exchange rate expectation, abnormal returns, and the COVID-19 pandemic
Beckmann, Joscha; Czudaj, Robert - In: Journal of economic behavior & organization : JEBO 196 (2022), pp. 1-25
Persistent link: https://www.econbiz.de/10013375039
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Japanese central bank interventions and the dispersion of individual exchange rate expectations: differential impact on four moment characteristics
Heck, Stephanie; Muller, Aline - In: International Journal of Behavioural Accounting and Finance 2 (2011) 2, pp. 152-177
degree of dispersion among market participants' expectations. Only large and transparent central bank interventions have a … interventions are shown to have an asymmetric impact on heterogeneity: they tend to increase the degree of consensus among …
Persistent link: https://www.econbiz.de/10009360082
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How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?
Cheung, Yin-Wong; Chinn, Menzie David; Marsh, Ian W - C.E.P.R. Discussion Papers - 1999
that heterogeneity of traders' beliefs is evident from the results but that it is not possible to explain such …
Persistent link: https://www.econbiz.de/10005067624
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Modeling the horizon-dependent ex-ante risk premium in the foreign exchange market: Evidence from survey data
Prat, Georges; Uctum, Remzi - In: Journal of International Financial Markets, … 23 (2013) C, pp. 33-54
Using Consensus Economics survey data on experts’ expectations, we aim to model the 3- and 12-month ahead ex-ante risk …
Persistent link: https://www.econbiz.de/10010603086
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Regressive Oil Price Expectations Toward More Fundamental Values of the Oil Price
Reitz, Stefan; Rülke, Jan C.; Stadtmann, Georg - In: Journal of Economics and Statistics (Jahrbuecher fuer … 230 (2010) 4, pp. 454-466
analyze how forecasters form their expectations. Our findings indicate that the extrapolative as well as the regressive … to the random walk benchmark. We test the hypothesis of rational expectations by relying on the criteria of unbiasedness …
Persistent link: https://www.econbiz.de/10008646851
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Nonlinear expectations in speculative markets – Evidence from the ECB survey of professional forecasters
Reitz, Stefan; Rülke, Jan-Christoph; Stadtmann, Georg - In: Journal of Economic Dynamics and Control 36 (2012) 9, pp. 1349-1363
general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective … trader groups. This paper investigates whether or not regressive and extrapolative expectations themselves exhibit … Professional Forecasters on oil price expectations. In particular, we find that forecasters form destabilizing expectations in the …
Persistent link: https://www.econbiz.de/10011051924
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Expectations and Exchange Rate Policy
Devereux, Michael B; Engel, Charles M - C.E.P.R. Discussion Papers - 2006
Both empirical evidence and theoretical discussion have long emphasized the impact of `news' on exchange rates. In most exchange rate models, the exchange rate acts as an asset price, and as such responds to news about future returns on assets. But the exchange rate also plays a role in...
Persistent link: https://www.econbiz.de/10005666551