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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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Nonlinear expectations in speculative markets – Evidence from the ECB survey of professional forecasters
Reitz, Stefan; Rülke, Jan-Christoph; Stadtmann, Georg - In: Journal of Economic Dynamics and Control 36 (2012) 9, pp. 1349-1363
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/10011051924
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Back to gold: Sterling in 1925
Gerlach, Stefan; Kugler, Peter - 2015
Expectations of Sterling returning to Gold have been disregarded in empirical work on the US dollar - Sterling exchange …
Persistent link: https://www.econbiz.de/10011335449
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The Greek debt crisis: Likely causes, mechanics and outcomes
Arghyrou, Michael G.; Tsoukalas, John D. - 2010
participation; and (b) a double shift in markets' expectations, from a regime of credible commitment to future EMU participation …
Persistent link: https://www.econbiz.de/10010274777
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The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements
Conrad, Christian; Lamla, Michael J. - 2007
We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of the EUR-US Dollar exchange rate employing an AR-FIGARCH specification. Using high-frequency data we estimate the individual and complementary effects of the release of the...
Persistent link: https://www.econbiz.de/10010277736
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Foreign exchange interventions and their impact on expectations: Evidence from the USD/ILS options market
Hertrich, Markus; Nathan, Daniel - 2022
has affected the foreign value of the Israeli new shekel (ILS) and the expectations about its future value. We find that …
Persistent link: https://www.econbiz.de/10013272159
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Uncertainty and exchange rate volatility: The case of Mexico
López Noria, Gabriela; Bush, Georgia - 2019
This paper investigates the effect of uncertainty on the volatility of the Mexican peso U.S. dollar exchange rate for the period 1999 - 2018. The empirical analysis consists on estimating a model by OLS and System GMM that includes measures of economic, political, and financial uncertainty, both...
Persistent link: https://www.econbiz.de/10012616384
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The Greek debt crisis: Likely causes, mechanics and outcomes
Arghyrou, Michael G.; Tsoukalas, John D. - 2010
participation; and (b) a double shift in markets’ expectations, from a regime of credible commitment to future EMU participation …
Persistent link: https://www.econbiz.de/10010288861
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Back to gold : sterling in 1925
Gerlach, Stefan; Kugler, Peter - 2015
Expectations of Sterling returning to Gold have been disregarded in empirical work on the US dollar - Sterling exchange …
Persistent link: https://www.econbiz.de/10011336495
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Uncertainty and exchange rate volatility : the case of Mexico
López Noria, Gabriela; Bush, Georgia - 2019
This paper investigates the effect of uncertainty on the volatility of the Mexican peso U.S. dollar exchange rate for the period 1999 - 2018. The empirical analysis consists on estimating a model by OLS and System GMM that includes measures of economic, political, and financial uncertainty, both...
Persistent link: https://www.econbiz.de/10012166372