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Exchange Rate Dynamics in a Target Zone : A Heterogeneous Expectations Approach

Bauer, Christian - 2016

We present a simple behavioral model with chartists and fundamentalists and analyze their trading behavior in a floating regime and in a target zone regime. Regarding the floating regime the model replicates the well-known stylized facts like excessive volatility, fat tails, volatility...

Persistent link: https://www.econbiz.de/10012991144

The Coordination Channel of Foreign Exchange Intervention : A Nonlinear Microstructural Analysis

Reitz, Stefan - 2016

Persistent link: https://www.econbiz.de/10012991195

Are Oil Price Forecasters Finally Right? Regressive Expectations Toward More Fundamental Values of the Oil Price

Reitz, Stefan - 2016

We use oil price forecasts from the Consensus Economic Forecast poll to analyze how forecasters form their expectations. Our findings seem to indicate that the extrapolative as well as the regressive expectation formation hypothesis play a role. Standard measures of forecast accuracy reveal...

Persistent link: https://www.econbiz.de/10012991103

End-User Order Flow and Exchange Rate Dynamics

Reitz, Stefan - 2016

In this paper we provide evidence for Evans and Lyons' (2005b) model of an information aggregation process in FX markets using a German bank's end-user order flow from 2002 to 2003. Though customer order flow is unambiguously the vehicle incorporating non-public information into exchange rates...

Persistent link: https://www.econbiz.de/10012991150

Central Bank Intervention and Exchange Rate Expectations : Evidence from the Daily Dm/Us-Dollar Exchange Rate

Reitz, Stefan - 2016

In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectations exchange rate model intervention operations are supposed to provide support to either chartist or...

Persistent link: https://www.econbiz.de/10012991271

Foreign Direct Investment, Spillovers and Absorptive Capacity : Evidence from Quantile Regressions

Girma, Sourafel - 2016

productivity spillovers from FDI using establishment level data for the UK. We allow for different effects of FDI on establishments … located at different quantiles of the productivity distribution by using conditional quantile regression. Overall, while there … matters for productivity spillover benefits. We find evidence for a u-shaped relationship between productivity growth and FDI …

Persistent link: https://www.econbiz.de/10012991322