Journal article | Zeitschriftenartikel
Heterogeneous expectations, exchange rate dynamics and predictability
This paper proposes a simple chartist-fundamentalist model in which we allow for nonlinear time variation in chartists' extrapolation rate. Estimation of the model using monthly data for the major currencies vis-a-vis the US dollar shows that the model is significant in-sample and that it has out-of-sample predictive power for some of the currencies. We investigate the power of tests of the random walk model to detect predictability against the alternative of the proposed model. We find that the evidence of short-term unpredictability and the long-term predictability are consistent with our model.
- Umfang
-
Seite(n): 111-128
- Sprache
-
Englisch
- Anmerkungen
-
Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
-
Journal of Economic Behavior & Organization, 64(1)
- Thema
-
Wirtschaft
Volkswirtschaftslehre
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Manzan, Sebastiano
Westerhoff, Frank H.
- Ereignis
-
Veröffentlichung
- (wo)
-
Niederlande
- (wann)
-
2007
- DOI
- URN
-
urn:nbn:de:0168-ssoar-199548
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Zeitschriftenartikel
Beteiligte
- Manzan, Sebastiano
- Westerhoff, Frank H.
Entstanden
- 2007
Ähnliche Objekte (12)
Heterogeneous expectations, exchange rate dynamics and predictability
Return Predictability of Stock Price Index in Tehran Stock Exchange
Heterogeneity in exchange rate expectations: evidence on the chartist-fundamentalist approach
Monetary policy predictability in the Euro area: an international comparison
The impact of heterogeneous signals on stock price predictability in a rational expectations model
Heterogeneous impacts in PROGRESA
Test Specifications and Blueprints: Reality and Expectations
Expectations and Bubbles in Asset Pricing Experiments
Exchange rate dynamics in a target zone: a heterogeneous expectations approach
Exchange rates dynamics in a target zone: a heterogeneous expectations approach
Heterogeneous Expectations in the Foreign Exchange Market Evidence from the Daily Dollar/DM Exchange Rate
Heterogeneous expectations in the foreign exchange market: evidence from the daily Dollar/DM exchange rate
Heterogeneous expectations, exchange rate dynamics and predictability
Return Predictability of Stock Price Index in Tehran Stock Exchange
Heterogeneity in exchange rate expectations: evidence on the chartist-fundamentalist approach
Monetary policy predictability in the Euro area: an international comparison
The impact of heterogeneous signals on stock price predictability in a rational expectations model
Heterogeneous impacts in PROGRESA
Test Specifications and Blueprints: Reality and Expectations
Expectations and Bubbles in Asset Pricing Experiments
Exchange rate dynamics in a target zone: a heterogeneous expectations approach
Exchange rates dynamics in a target zone: a heterogeneous expectations approach
Heterogeneous Expectations in the Foreign Exchange Market Evidence from the Daily Dollar/DM Exchange Rate
Heterogeneous expectations in the foreign exchange market: evidence from the daily Dollar/DM exchange rate
Heterogeneous expectations, exchange rate dynamics and predictability
Return Predictability of Stock Price Index in Tehran Stock Exchange
Heterogeneity in exchange rate expectations: evidence on the chartist-fundamentalist approach
Monetary policy predictability in the Euro area: an international comparison
The impact of heterogeneous signals on stock price predictability in a rational expectations model
Heterogeneous impacts in PROGRESA
Test Specifications and Blueprints: Reality and Expectations
Expectations and Bubbles in Asset Pricing Experiments
Exchange rate dynamics in a target zone: a heterogeneous expectations approach
Exchange rates dynamics in a target zone: a heterogeneous expectations approach
Heterogeneous Expectations in the Foreign Exchange Market Evidence from the Daily Dollar/DM Exchange Rate