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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

Market depth, leverage, and speculative bubbles

Enders, Zeno; Hakenes, Hendrik - 2017

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/10011780495

Bubbles in hybrid markets : how expectations about algorithmic trading affect human trading

Farjam, Mike; Kirchkamp, Oliver - 2015

Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments … smaller bubbles if human traders expect algorithmic traders to be present. …

Persistent link: https://www.econbiz.de/10011392621

Currency traders and exchange rate dynamics : a survey of the U.S. market

Cheung, Yin-Wong; Chinn, Menzie David - 2000

We report findings from a survey of United States foreign exchange traders. Our results indicate that: (i) in recent years electronically-brokered transactions have risen substantially, mostly at the expense of traditional brokers; (ii) the market norm is an important det e rminant of interbank...

Persistent link: https://www.econbiz.de/10009781525

Non-linearities in the relation between the exchange rate and its fundamentals

Altavilla, Carlo (contributor); De Grauwe, Paul (contributor) - 2005

This paper investigates the relationship between the euro-dollar exchange rate and its underlying fundamentals. First, we develop a simple theoretical model in which chartists and fundamentalists interact. This model predicts the existence of different regimes, and thus nonlinearities in the...

Persistent link: https://www.econbiz.de/10003202226

The impact of FX central bank intervention in a noise trading framework

Beine, Michel (contributor); De Grauwe, Paul (contributor); … - 2005

In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a...

Persistent link: https://www.econbiz.de/10003113337

Bubbles and crashes in a behavioural finance model

De Grauwe, Paul; Grimaldi, Marianna - 2004

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

Persistent link: https://www.econbiz.de/10011401333

Exchange rate expectations of chartists and fundamentalists

Dick, Christian D.; Menkhoff, Lukas - 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/10009727121

Bank of England interest rate announcements and the foreign exchange market

Melvin, Michael; Saborowski, Christian; Sager, Michael; … - 2009

Since 1997, the Bank of England Monetary Policy Committee (MPC) has met monthly to set the UK policy interest rate. We examine evidence of systematic patterns in exchange rate movements on MPC days over the first decade of operation of the MPC. Daily data reveal significant differences in...

Persistent link: https://www.econbiz.de/10003831967

Exchange rate forecasters' performance : evidence of skill?

McDonald, Ronald H.; Menkhoff, Lukas; Rebitzky, Rafael R. - 2009

This paper sheds new light on a long-standing puzzle in the international finance literature, namely, that exchange rate expectations appear inaccurate and even irrational. We find for a comprehensive dataset that individual forecasters' performance is skill-based. 'Superior' forecasters show...

Persistent link: https://www.econbiz.de/10003832110

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