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Fundamental and non-fundamental equilibria in the foreign exchange market : a behavioural finance framework
De Grauwe, Paul; Dieci, Roberto; Grimaldi, Marianna - 2005
which bubbles and crashes occur at unpredictable moments. We contrast these ?behavioural? bubbles with ?rational? bubbles. …
Persistent link: https://www.econbiz.de/10010261158
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On the power and weakness of rational expectations: Logical fallacies, periodic bubbles and business cycles
Gracia, Eduard - 2012
's q ratio displays regular cycles of bubbles and crashes reflecting an agency problem between investors and producers. The …
Persistent link: https://www.econbiz.de/10010309044
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On the existence and prevention of asset price bubbles
Enders, Zeno; Hakenes, Hendrik - 2010
We develop a model of rational bubbles based on the assumptions of unknown market liquidity and limited liability of … condition for whether rational bubbles are possible. Based on this analysis, we discuss several widely-discussed policy measures … with respect to their effectiveness in preventing bubbles. A reduction of manager bonuses or a Tobin tax can create or …
Persistent link: https://www.econbiz.de/10010286704
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Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset
Kühl, Michael - 2008
The aim of this paper is to detect periods in which two currencies can be classified as being the'same' asset. Two currencies can be treated as the same asset if their exchange rates vis-à-vis the same base currency are cointegrated with a cointegration vector that is consistent with the...
Persistent link: https://www.econbiz.de/10010300152
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Stabilizing rational speculation and price level targeting
Reither, Franco; Bennöhr, Lars - 2010
We analyze the contribution of speculation to exchange rate volatility using different assumptions regarding speculation strategies and monetary policy rules. We take the DORNBUSCH (1976) model as the starting point and adopt a slight modification of the money demand specification. With a money...
Persistent link: https://www.econbiz.de/10010289025
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Is exchange rate - customer order flow relationship linear? Evidence from the Hungarian FX market
Lovcha, Yuliya; Perez-Laborda, Alejandro - 2010
Over the last decade, the microstructure approach to exchange rates has become very popular. The underlying idea of this approach is that the order flows at different levels of aggregation contain valuable information to explain exchange rate movements. The bulk of empirical literature has...
Persistent link: https://www.econbiz.de/10010322440
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Biases in FX-Forecasts: Evidence from Panel Data
Audretsch, David B.; Stadtmann, Georg - 2005
In this paper, we use the Wall Street Journal poll of FX forecasts to analyze how the group of forecasters form their expectations. One focus is whether forecasters build rational expectations. Furthermore, we analyze whether the group of forecasters can be regarded as homogeneous or...
Persistent link: https://www.econbiz.de/10010296155
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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/10010264608
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Exchange rate forecasters' performance: Evidence of skill?
MacDonald, Ronald; 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/10010264610
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Customer trading in the foreign exchange market empirical evidence from an internet trading platform
Lechner, Sandra; Nolte, Ingmar - 2007
This paper analyzes the relationship between currency price changes and their expectations. Currency price change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which is an internet trading platform in the foreign...
Persistent link: https://www.econbiz.de/10010266950