We study whether disagreement is a useful proxy for uncertainty in the foreign exchange market using monthly forecasts for the euro, British pound, and Japanese yen against the U.S. dollar over the 2001 - 2017 period. We obtain measures of uncertainty and find that disagreement is not robustly...

We study whether disagreement is a useful proxy for uncertainty in the foreign exchange market using monthly forecasts for the euro, British pound, and Japanese yen against the US dollar over the 2001 - 2017 period. We obtain measures of uncertainty and find that disagreement is not robustly...

This paper introduces a Heterogeneous Agent Model (HAM) for foreign exchange fund managers, and estimates it on currency trader indices. Fund managers dynamically allocate capital conditional on recent performance to a value strategy, a momentum strategy, and a carry strategy. Estimation results...

This paper investigates the time-varying nature of expectation formation rules for institutional investors in the foreign exchange market. Using a unique dataset of survey expectations for four exchange rates, we first distinguish three different general rules. We find a momentum rule, a...

We show how economic agents' limited attention can account for the time-varying link between exchange rates and economic fundamentals. We demonstrate that the higher is the attention for a certain fundamental, the higher is its predictive power in forecasting future currency movements. We proxy...