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.

Object Details

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

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 4/2016

Classification and Topics

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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): ter Ellen, Saskia ; Verschoor, Willem F.C. ; Zwinkels, Remco C.J.
• Event: Veröffentlichung
• (who): Norges Bank
• (where): Oslo
• (when): 2016

Further information

• Handle: http://hdl.handle.net/10419/210093
• Last update: 10.03.2025, 11:42 AM CET