Narrow search
Showing 1 - 10 of 1,392
Cover Image
Do forecasters use monetary models? : an empirical analysis of exchange rate expectations
Schröder, Michael; Dornau, Robert - 2000
question analysed in this apper. In contrast to other studies we use expectations instead of realised data. Therefore we … analyse the implicit structural models forecasters have in mind when forming their exchange rate expectations. Using expected … short- and long-term interest rates and business expectations as explanatory variables we estimate latent structural models …
Persistent link: https://www.econbiz.de/10011543374
Cover Image
Models of Exchange Rate Expectations: Heterogeneous Evidence from Panel Data
Bénassy-Quéré, Agnès; Larribeau, Sophie; MacDonald, … - Centre d'études prospectives et d'informations … - 1999
Persistent link: https://www.econbiz.de/10005406535
Cover Image
Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?
Fatum, Rasmus; Scholnick, Barry - 2005
This paper shows that exchange rates respond to only the surprise component of an actual US monetary policy change and that failure to disentangle the surprise component from the actual monetary policy change can lead to an underestimation of the impact of monetary policy, or even to a false...
Persistent link: https://www.econbiz.de/10010320908
Cover Image
Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations? Evidence from the Federal Funds Futures Market
Fatum, Rasmus; Scholnick, Barry - 2003
day-to-day changes in expectations of future US monetary policy, in the context of a study of day-to-day exchange rate … changes. We analyze more than 12 years of daily exchange rate data and show that continuous day-to-day changes in expectations …
Persistent link: https://www.econbiz.de/10010320954
Cover Image
The impact of uncertainty on professional exchange rate forecasts
Beckmann, Joscha; Czudaj, Robert - 2016
This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for … the adjustment of exchange rate expectations. Our findings are robust to different forecasting horizons and point to an …
Persistent link: https://www.econbiz.de/10011533201
Cover Image
The impact of uncertainty on professional exchange rate forecasts
Beckmann, Joscha; Czudaj, Robert - 2016
This paper analyzes the role of uncertainty on both exchange rate expectations and forecast errors of professionals for … the adjustment of exchange rate expectations. Our findings are robust to different forecasting horizons and point to an …
Persistent link: https://www.econbiz.de/10011532311
Cover Image
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
Cover Image
Imperfect Knowledge and Asset Price Dynamics: Modeling the Forecasting of Rational Agents, Dynamic Prospect Theory and Uncertainty Premia on Foreign Exchange.
Frydman, Roman; Goldberg, Michael D. - Økonomisk Institut, Københavns Universitet - 2003
Models using the Rational Expectations Hypothesis (REH) are widely recognized to be inconsistent with the observed … advanced as to why the REH cannot generally represent, even approximately, the expectations behavior of individually rational …
Persistent link: https://www.econbiz.de/10005749824
Cover Image
Do Exchange Rates Respond to Day-to-Day Changes in Monetary Policy Expectations? Evidence from the Federal Funds Futures Market.
Fatum, Rasmus; Scholnick, Barry - Economic Policy Research Unit (EPRU), Økonomisk Institut - 2003
day-to-day changes in expectations of future US monetary policy, in the context of a study of day-to-day exchange rate … changes. We analyze more than 12 years of daily exchange rate data and show that continuous day-to-day changes in expectations …
Persistent link: https://www.econbiz.de/10005749834
Cover Image
Monetary Policy News and Exchange Rate Responses: Do Only Surprises Matter?
Fatum, Rasmus; Scholnick, Barry - Economic Policy Research Unit (EPRU), Økonomisk Institut
This paper shows that exchange rates respond to only the surprise component of an actual US monetary policy change and that failure to disentangle the surprise component from the actual monetary policy change can lead to an underestimation of the impact of monetary policy, or even to a false...
Persistent link: https://www.econbiz.de/10005749974