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Three Essays Using Survey Data on Exchange Rate Expectations
Frankel, Jeffrey A.; Froot, Kenneth A. - Institute of Business and Economic Research (IBER), … - 1986
Persistent link: https://www.econbiz.de/10010677918
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Japanese central bank interventions and the dispersion of individual exchange rate expectations: differential impact on four moment characteristics
Heck, Stephanie; Muller, Aline - In: International Journal of Behavioural Accounting and Finance 2 (2011) 2, pp. 152-177
degree of dispersion among market participants' expectations. Only large and transparent central bank interventions have a … interventions are shown to have an asymmetric impact on heterogeneity: they tend to increase the degree of consensus among …
Persistent link: https://www.econbiz.de/10009360082
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Are oil price forecasters finally right? Regressive expectations toward more fundamental values of the oil price
Reitz, Stefan; Rülke, Jan-Christoph; Stadtmann, Georg - 2009
We use oil price forecasts from the Consensus Economic Forecast poll to analyze how forecasters form their expectations …
Persistent link: https://www.econbiz.de/10010299850
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Nonlinear expectations in speculative markets: Evidence from the ECB survey of professional forecasters
Reitz, Stefan; Rülke, Jan-Christoph; Stadtmann, Georg - 2012
general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective … trader groups. This paper investigates whether or not regressive and extrapolative expectations themselves exhibit … Professional Forecasters on oil price expectations. In particular, we find that forecasters form destabilizing expectations in the …
Persistent link: https://www.econbiz.de/10010307723
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Testing the asset pricing model of exchange rates with survey data
Naszódi, Anna - 2011
This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some alternative models. The asset pricing model is...
Persistent link: https://www.econbiz.de/10010322470
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Analysing currency risk premia in the Czech Republic, Hungary, Poland and Slovakia
Rezessy, András - 2010
approaches are applied: a constant premium approach based on rational expectations, while time-varying premia are estimated with … Hungarian forint also indicates that the survey expectations are largely in line with both the riskpremium- extended UIP and the … rational expectations hypothesis, which is theoretically important as the UIP relates exchange rate expectations to the …
Persistent link: https://www.econbiz.de/10010322482
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Testing the asset pricing model of exchange rates with survey data
Naszodi, Anna - 2010
This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some alternative models. The asset pricing model is...
Persistent link: https://www.econbiz.de/10011605246
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Carry trades, order flow and the forward bias puzzle
Breedon, Francis; Rime, Dagfinn; Vitale, Paolo - 2015
We investigate the relation between foreign exchange (FX) order flow and the forward bias. We outline a decomposition of the forward bias according to which a negative correlation between interest rate differentials and order flow creates a time-varying risk premium consistent with that bias....
Persistent link: https://www.econbiz.de/10011460768
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Nonlinear expectations in speculative markets: Evidence from the ECB survey of professional forecasters
Reitz, Stefan; Rülke, Jan-Christoph; Stadtmann, Georg - 2011
general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective … trader groups. This paper investigates whether or not regressive and extrapolative expectations themselves exhibit … Professional Forecasters on oil price expectations. In particular, we find that forecasters form destabilizing expectations in the …
Persistent link: https://www.econbiz.de/10010285496
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A Transaction Data Study of the Forward Bias Puzzle
Breedon, Francis; Rime, Dagfinn; Vitale, Paolo - 2010
driven by carry trade activity, which is itself is driven by expectations of carry trade profits. However, carry trading …
Persistent link: https://www.econbiz.de/10012143760