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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 - Deutsche Bundesbank - 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/10008474656
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Analysing currency risk premia in the Czech Republic, Hungary, Poland and Slovakia
Rezessy, András - Magyar Nemzeti Bank (MNB) - 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/10008461978
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How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?
Cheung, Yin-Wong; Chinn, Menzie David; Marsh, Ian W - C.E.P.R. Discussion Papers - 1999
that heterogeneity of traders' beliefs is evident from the results but that it is not possible to explain such …
Persistent link: https://www.econbiz.de/10005067624
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Nonlinear Expectations in Speculative Markets - Evidence from the ECB Survey of Professional Forecasters
Reitz, Stefan; Rülke, Jan-Christoph; Stadtmann, Georg - Institut für Weltwirtschaft (IfW) - 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/10009132529
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Testing the asset pricing model of exchange rates with survey data
Naszódi, Anna - Magyar Nemzeti Bank (MNB) - 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/10009145966
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Nonlinear expectations in speculative markets - Evidence from the ECB survey of professional forecasters
Reitz, Stefan; Rülke, Jan-Christoph; Stadtmann, Georg - Institut for Virksomhedsledelse og Økonomi, Syddansk … - 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/10009421709
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Nonlinear expectations in speculative markets: Evidence from the ECB survey of professional forecasters
Reitz, Stefan; Rülke, Jan-Christoph; Stadtmann, Georg - Wirtschaftswissenschaftliche Fakultät, … - 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/10009421955
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Modeling the horizon-dependent risk premium in the forex market: evidence from survey data
Uctum, Remzi; Prat, Georges - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2012
Using Consensus Economics survey data on experts' expectations, we aim to model the 3- and 12-month ahead ex-ante risk …
Persistent link: https://www.econbiz.de/10010552982
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Pricing to market of Italian exporting firms
Basile, Roberto; Nardis, Sergio de; Girardi, Alessandro - Istituto Nazionale di Statistica (ISTAT) - 2006
This paper investigates the pricing-to-market (PTM) behaviour of Italian exporting firms, using quarterly survey data by sector and by region over the period 1999q1-2005q2. A partial equilibrium imperfect competition model provides the structure according to which the orthogonality of structural...
Persistent link: https://www.econbiz.de/10005449464
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A Transaction Data Study of the Forward Bias Puzzle
Breedon, Francis; Rime, Dagfinn; Vital, Paolo - Norges Bank - 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/10008764234