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

Lukas Menkhoff, Rafael R. Rebitzky and Michael Schröder

No 2502, CESifo Working Paper Series from CESifo

Abstract: 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 so 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.

Keywords: exchange rate; heterogeneity; dispersion; chartists; fundamentalists (search for similar items in EconPapers)
JEL-codes: F31 G14 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp2502.pdf (application/pdf)

Related works:
Journal Article: Heterogeneity in exchange rate expectations: Evidence on the chartist-fundamentalist approach (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_2502

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().