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Comportements chartistes et fondamentalistes. Coexistence ou domination alternative sur le marché des changes?

Marie Bessec () and François-Mathieu Robineau

Revue économique, 2003, vol. 54, issue 6, 1213-1238

Abstract: This paper examines the role of chartists and fundamentalists in the foreign exchange market. This question is studied using the Markov-Switching model of Vigfusson that we extend to test for the alternative domination of each group. The tests are applied to the Canadian, Japanese and German-US exchange rates. The results support Vigfusson?s findings. Chartists dominate foreign exchange market during the tranquil phases, whereas fundamentalists drag back the exchange rates to its equilibrium value during the more turbulent periods. Classification JEL?: F31.

JEL-codes: F31 (search for similar items in EconPapers)
Date: 2003
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