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Dispersion of Beliefs in the Foreign Exchange Market
Wolff, Christian; Jongen, Ron; Verschoor, Willem F.C.; … - Luxembourg School of Finance, Faculté de droit, … - 2009
their relative role in forming exchange rate expectations. We find that there are distinct periods of high and low … be significant and positive for different measures of both trader heterogeneity and market volatility. …
Persistent link: https://www.econbiz.de/10008474099
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The scapegoat theory of exchange rates: the first tests
Fratzscher, Marcel; Rime, Dagfinn; Sarno, Lucio; Zinna, … - Banca d'Italia - 2014
The scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2013) suggests that market participants may attach excessive weight to individual economic fundamentals, which are picked as scapegoats to rationalize observed currency fluctuations at times when exchange rates are driven by...
Persistent link: https://www.econbiz.de/10011277939
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The Scapegoat Theory of Exchange Rates: The First Tests
Fratzscher, Marcel; Sarno, Lucio; Zinna, Gabriele - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011). This theory suggests that market participants may at times attach significantly more weight to individual economic fundamentals to rationalize the pricing of currencies, which...
Persistent link: https://www.econbiz.de/10010643156
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The Effects of Japanese Interventions on FX-Forecast Heterogeneity
Reitz, Stefan; Stadtmann, Georg; Taylor, Mark P. - Volkswirtschaftliche Fakultät, … - 2009
This paper investigates the determinants of forecast heterogeneity in the Yen-US dollar market using a panel data set … of Finance dampens expectation heterogeneity. …
Persistent link: https://www.econbiz.de/10005668400
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Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data
Prat, Georges; Uctum, Remzi - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2014
Using Consensus Economics survey data on JPY/USD and GBP/USD exchange rate expectations for the 3- and 12-month … horizons over the period November 1989 – December 2012 we first show that expectations fail to unbiasedness tests and do not … exhibit a learning process towards rationality. Our approach is consistent with the economically rational expectations theory …
Persistent link: https://www.econbiz.de/10010896309
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Interest expectations and exchange rates news
Cavaglia, Stefano; Verschoor, Willem F. C.; Wolff, … - In: Empirical Economics 23 (1998) 4, pp. 525-534
Using a new survey data set of matched exchange rate and interest rate expectations for eight currencies relative to …
Persistent link: https://www.econbiz.de/10005613013
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Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data
Prat, Georges; Uctum, Remzi - Institut de Préparation à l'Administration et à la … - 2014
Abstract. Using Consensus Economics survey data on JPY/USD and GBP/USD exchange rate expectations for the 3- and 12 …-month horizons over the period November 1989 – December 2012 we first show that expectations fail to unbiasedness tests and … expectations theory (Feige and Pearce, 1976), which states that information costs and agents’ aversion of misestimating future …
Persistent link: https://www.econbiz.de/10010764038
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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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Exchange Rate Dynamics and Forecast Errors about Persistently Trending Fundamentals
Stillwagon, Josh R. - Department of Economics, Trinity College - 2015
This paper offers and tests a unique explanation for the exchange rate determination puzzle. It is not that exchange rates are unrelated to fundamentals, but rather when fundamentals undergo persistent changes it becomes important to measure their effect in terms of how they change relative to...
Persistent link: https://www.econbiz.de/10011204531
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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