Agreeing on disagreement: heterogeneity or uncertainty?

Saskia ter Ellen, Willem Verschoor and Remco Zwinkels ()

No 2016/4, Working Paper from Norges Bank

Abstract: Disagreement is used as a measure of both investor heterogeneity and uncertainty. We study whether disagreement captures heterogeneity or uncertainty for the foreign exchange market. We do so by relating disagreement to alternative measures of uncertainty, as well as by taking advantage of the different asset pricing implications of the two concepts. We find that whereas disagreement measures uncertainty conditionally, unconditionally this is only true during the peak of the global financial crisis.

Keywords: foreign exchange markets; disagreement; heterogeneous expectations; uncertainty (search for similar items in EconPapers)
JEL-codes: G12 G15 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2016-02-16
New Economics Papers: this item is included in nep-ifn
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Citations: View citations in EconPapers (3)

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http://www.norges-bank.no/en/Published/Papers/Working-Papers/2016/42016/

Related works:
Journal Article: Agreeing on disagreement: Heterogeneity or uncertainty? (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:bno:worpap:2016_04

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