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Are Risk Premia Related to Real Exchange Rate Swings? Survey Expectations and I(2) Trends

Stillwagon, Josh - Department of Economics, Trinity College - 2013

This paper tests the ex ante implications of Frydman and Goldberg's Imperfect Knowledge Economics (IKE) gap model in such a way as to overcome the endogeneity bias and data restrictions of previous work. The IKE gap model relates the expected excess return (measured here through survey data for...

Persistent link: https://www.econbiz.de/10010723489

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

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

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

Modeling the horizon-dependent ex-ante risk premium in the foreign exchange market: Evidence from survey data

Prat, Georges; Uctum, Remzi - In: Journal of International Financial Markets, … 23 (2013) C, pp. 33-54

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/10010603086

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

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

Regressive Oil Price Expectations Toward More Fundamental Values of the Oil Price

Reitz, Stefan; Rülke, Jan C.; Stadtmann, Georg - In: Journal of Economics and Statistics (Jahrbuecher fuer … 230 (2010) 4, pp. 454-466

analyze how forecasters form their expectations. Our findings indicate that the extrapolative as well as the regressive … to the random walk benchmark. We test the hypothesis of rational expectations by relying on the criteria of unbiasedness …

Persistent link: https://www.econbiz.de/10008646851

Home Bias in Currency Forecasts

Chen, Yu-chin; Tsang, Kwok Ping; Tsay, Wen Jen - Hong Kong Institute for Monetary Research (HKIMR), … - 2010

The "home bias" phenomenon states that empirically, economic agents often under-utilize opportunities beyond their country borders, and it is well-documented in various international pricing and purchase patterns. This bias manifests in the forms of fewer exchanges of goods and net...

Persistent link: https://www.econbiz.de/10008680481

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