Nonlinear expectations in speculative markets: Evidence from the ECB survey of professional forecasters

Arbeitspapier

Chartist and fundamentalist models have proven to be capable of replicating stylized facts on speculative markets. In 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 significant nonlinear dynamics. The empirical results are based on a new data set from the European Central Bank Survey of Professional Forecasters on oil price expectations. In particular, we find that forecasters form destabilizing expectations in the neighborhood of the fundamental value, whereas expectations tend to be stabilizing in the presence of substantial oil price misalignment.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Kiel Working Paper ; No. 1706

Classification and Topics

• Classification: Wirtschaft ; Foreign Exchange ; Expectations; Speculations ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
• Subject: Agent based models ; nonlinear expectations ; survey data ; Ölpreis ; Volatilität ; Erwartungstheorie ; Mineralölmarkt ; Spekulation ; Agent-based Model ; Finanzanalysten ; Schätzung ; EU-Staaten

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Reitz, Stefan ; Rülke, Jan-Christoph ; Stadtmann, Georg
• Event: Veröffentlichung
• (who): Kiel Institute for the World Economy (IfW)
• (where): Kiel
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/45900
• Last update: 10.03.2025, 11:41 AM CET