Agreeing on disagreement: Heterogeneity or uncertainty?
Saskia ter Ellen,
Willem F.C. Verschoor and
Remco C.J. Zwinkels
Journal of Financial Markets, 2019, vol. 44, issue C, 17-30
We study whether disagreement is a useful proxy for uncertainty in the foreign exchange market using monthly forecasts for the euro, British pound, and Japanese yen against the U.S. dollar over the 2001–2017 period. We obtain measures of uncertainty and find that disagreement is not robustly related to uncertainty, as results depend heavily on the forecast horizon. In addition, we find that disagreement is positively associated with market liquidity and trading activity. This confirms that disagreement is not a proper proxy for uncertainty and suggests that it is more akin to heterogeneity.
Keywords: Foreign exchange markets; Disagreement; Heterogeneity; Uncertainty (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:44:y:2019:i:c:p:17-30
Access Statistics for this article
Journal of Financial Markets is currently edited by B. Lehmann, D. Seppi and A. Subrahmanyam
More articles in Journal of Financial Markets from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().