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Exchange Rate Expectations of Chartists and Fundamentalists
Dick, Christian David - 2013
This paper provides novel evidence on exchange rate expectations of both chartists and fundamentalists separately. These groups indeed form expectations differently. Chartists change their expectations more often; however, all professionals' expectations vary considerably as they generally...
Persistent link: https://www.econbiz.de/10013083266
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The Impact of Macro News and Central Bank Communication on Emerging European Forex Markets
Égert, Balázs - 2013
We employ two-stage empirical strategy to analyze the impact of macroeconomic news and central bank communication on the exchange rates of three Central and Eastern European (CEE) currencies against the euro. First we estimate the nominal equilibrium exchange rate based on a monetary model....
Persistent link: https://www.econbiz.de/10013079876
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Volatility Transmission in Emerging European Foreign Exchange Markets
Bubak, Vit - 2013
This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily...
Persistent link: https://www.econbiz.de/10013094673
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Exchange Rates Dynamics in a Target Zone - A Heterogeneous Expectations Approach
Bauer, Christian; De Grauwe, Paul; Reitz, Stefan - 2021
The target zone model of Krugman (1991) has failed empirically. In this paper, we develop a model of the exchange rate with heterogeneous agents in a free floating and a target zone regime. We show that this simple model mimics the empirical puzzles of exchange rates: excessive volatility, fat...
Persistent link: https://www.econbiz.de/10013316875
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Renewed Momentum in the German Housing Market : Boom or Bubble?
Chen, Xi - 2013
speculative bubbles in Germany over the sample period 1987Q3-2012Q4. Overall, we find that actual house prices are not …The renewed momentum in the German housing market has led to concerns that Germany is vulnerable to asset price shocks … significantly disconnected from underlying economic fundamentals. Thus, there is no evidence of speculative house price bubbles in …
Persistent link: https://www.econbiz.de/10013079871
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Do Bubbles Lead to Overinvestment? : A Revealed Preference Approach
Chirinko, Robert S. - 2011
spending – combined with investment theory – to estimate the discount rates used by managers. The standard story predicts that … between 15.1% and 45.2% too much capital. These estimates suggest that, even before they burst, bubbles adversely affect …
Persistent link: https://www.econbiz.de/10013123799
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Double-Question Survey Measures for the Analysis of Financial Bubbles and Crashes
Pesaran, M. Hashem - 2017
This paper proposes a new double-question survey method that elicits information about how individuals subjective belief valuations are compared and related to their price expectations. An individual respondent is presented with two sets of questions, one that asks about his/her belief regarding...
Persistent link: https://www.econbiz.de/10012963776
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Market Depth, Leverage, and Speculative Bubbles
Enders, Zeno - 2019
We develop a model of rational bubbles based on leverage and the assumption of an imprecisely known maximum market size … lend to traders with limited liability in a bubble is endogenous. Bubbles reduce welfare of future investors. We provide … general conditions for the possibility of bubbles depending on uncertainty about market size, traders' degree of leverage and …
Persistent link: https://www.econbiz.de/10012899999
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Tests of Policy Ineffectiveness in Macroeconometrics
Pesaran, M. Hashem - 2014
This paper proposes tests of policy ineffectiveness in the context of macroeconometric rational expectations models. It is assumed that there is a policy intervention that takes the form of changes in the parameters of a policy rule, and that there are sufficient observations before and after...
Persistent link: https://www.econbiz.de/10013050473
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The Effect of Disaggregate Information on the Expectation Formation of Firms
Buchheim, Lukas - 2018
This paper studies a new aspect of firms' expectation formation by asking whether expectations primarily reflect aggregate, industry-wide information (e.g., industry trends) or disaggregate information (e.g., firm-specific information). First, we show that disaggregate information is strongly...
Persistent link: https://www.econbiz.de/10012929261