Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach

By Lukas Menkhoff, Rafael R. Rebitzky, Michael Schröder. Social Science Research Network, 2009

139 citations recorded by the source corpus.

This paper examines heterogeneity in exchange rate expectations. Whereas agents' heterogeneity is key in modern exchange rate models, evidence on determinants of heterogeneity is weak thus far. Our sample, covering expectations from about 300 forecasters over 15 years, shows remarkable time variation in dispersion. Determinants of dispersion are consistent with the chartist-fundamentalist approach: misalignments of the exchange rate and exchange rate changes explain heterogeneity. The risk premium influences heterogeneity as well, but possible impacts from macroeconomic variables and exchange rate's volatility are dominated by the other determinants.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b5390507cc6da1c185d436c5cca2ce02ee7eaf2f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Roberto Dieci
2. Frank H. Westerhoff
3. Cars H. Hommes
4. Xue-zhong He
5. Laura Gardini
6. R. Franke

In Finance

1. Frank H. Westerhoff
2. Roberto Dieci
3. Cars H. Hommes

Citations in the corpus

• A simple model of a speculative housing market (2012, background): “…demand (top right and bottom left f f 10 Empirical support for the assumption that fundamentalisms gains in popularity as speculative prices start to deviate from their fundamentals is, for instance, provided by Reitz and Westerhoff (2007), Menkhoff et al. (2009) and Franke and Westerhoff (2011).”