Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?

Giulio Cifarelli () and Giovanna Paladino

Research in International Business and Finance, 2018, vol. 46, issue C, 313-323

Abstract: Over the last 15 years, exchange rate movements were relatively smooth, despite sharp shifts in the fundamental variables. In the large literature dealing with the high frequency exchange rate dynamics, the model that assumes heterogeneous trading strategies, where ‘fundamentalists’ coexist with ‘chartists’, plays a relevant if puzzling role.

Keywords: Exchange rate; Heterogeneous agents; Nonlinearity; LSTAR-GARCH model (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Working Paper: Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum? (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:46:y:2018:i:c:p:313-323

DOI: 10.1016/j.ribaf.2018.04.004

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