Heterogeneous expectations, exchange rate dynamics and predictability
Abstract: 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
- Standort
-
Deutsche Nationalbibliothek Frankfurt am Main
- Umfang
-
Online-Ressource
- Sprache
-
Englisch
- Anmerkungen
-
Postprint
begutachtet (peer reviewed)
In: Journal of Economic Behavior & Organization ; 64 (2007) 1 ; 111-128
- Klassifikation
-
Wirtschaft
- Ereignis
-
Veröffentlichung
- (wo)
-
Mannheim
- (wann)
-
2007
- Urheber
-
Manzan, Sebastiano
Westerhoff, Frank H.
- DOI
-
10.1016/j.jebo.2006.08.005
- URN
-
urn:nbn:de:0168-ssoar-199548
- Rechteinformation
-
Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Letzte Aktualisierung
-
25.03.2025, 13:52 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Deutsche Nationalbibliothek. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Beteiligte
- Manzan, Sebastiano
- Westerhoff, Frank H.
Entstanden
- 2007
Ähnliche Objekte (12)
Heterogeneous expectations, exchange rate dynamics and predictability
Exchange rate dynamics in a target zone: a heterogeneous expectations approach
Exchange rates dynamics in a target zone: a heterogeneous expectations approach
Heterogeneous Expectations and Complex Economic Dynamics
Heterogeneous expectations and asset price dynamics
Heterogeneous expectations, learning and European inflation dynamics
The impact of heterogeneous signals on stock price predictability in a rational expectations model
Exchange rate dynamics, expectations, and monetary policy
Exchange rate dynamics, expectations, and monetary policy
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
Exchange rates expectations and chaotic dynamics: A replication study
Heterogeneous expectations, exchange rate dynamics and predictability
Exchange rate dynamics in a target zone: a heterogeneous expectations approach
Exchange rates dynamics in a target zone: a heterogeneous expectations approach
Heterogeneous Expectations and Complex Economic Dynamics
Heterogeneous expectations and asset price dynamics
Heterogeneous expectations, learning and European inflation dynamics
The impact of heterogeneous signals on stock price predictability in a rational expectations model
Exchange rate dynamics, expectations, and monetary policy
Exchange rate dynamics, expectations, and monetary policy
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
Exchange rates expectations and chaotic dynamics: A replication study
Heterogeneous expectations, exchange rate dynamics and predictability
Exchange rate dynamics in a target zone: a heterogeneous expectations approach
Exchange rates dynamics in a target zone: a heterogeneous expectations approach
Heterogeneous Expectations and Complex Economic Dynamics
Heterogeneous expectations and asset price dynamics
Heterogeneous expectations, learning and European inflation dynamics
The impact of heterogeneous signals on stock price predictability in a rational expectations model
Exchange rate dynamics, expectations, and monetary policy
Exchange rate dynamics, expectations, and monetary policy
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