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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

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

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

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

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

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

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

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

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

Short-Term and Long-Term Growth Effects of Exchange Rate Adjustment

Kočenda, Evžen - 2013

The European sovereign debt crisis revived the discussion concerning the pros and cons of exchange rate adjustment in the face of asymmetric shocks. Exit from the euro area is to regain rapidly international competitiveness. Exchange rate stability with structural reforms could be beneficial for...

Persistent link: https://www.econbiz.de/10013089423

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