Agreeing on Disagreement: Heterogeneity or Uncertainty?

Arbeitspapier

Disagreement is used as a measure of both investor heterogeneity and uncertainty. We study whether disagreement captures heterogeneity or uncertainty for the foreign exchange market. We do so by relating disagreement to alternative measures of uncertainty, as well as by taking advantage of the different asset pricing implications of the two concepts. We find that whereas disagreement measures uncertainty conditionally, unconditionally this is only true during the peak of the global financial crisis.

Angaben zum Objekt

• ISBN: 978-82-7553-893-0
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 4/2016

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; International Financial Markets
• Thema: foreign exchange markets ; disagreement ; heterogeneous expectations ; uncertainty

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): ter Ellen, Saskia ; Verschoor, Willem F.C. ; Zwinkels, Remco C.J.
• Ereignis: Veröffentlichung
• (wer): Norges Bank
• (wo): Oslo
• (wann): 2016

Weitere Informationen

• Handle: http://hdl.handle.net/10419/210093
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ