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

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  • Marie Bessec
  • François-Mathieu Robineau

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? 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.

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Bibliographic Info

Article provided by Presses de Sciences-Po in its journal Revue économique.

Volume (Year): 54 (2003)
Issue (Month): 6 ()
Pages: 1213-1238

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Handle: RePEc:cai:recosp:reco_546_1213

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  1. Robert Vigfusson, 1996. "Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach," International Finance 9602003, EconWPA.
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Cited by:
  1. Olivier Damette & Stéphane Goutte, 2014. "Tobin tax and trading volume tightening: a reassessment," Working Papers halshs-00926805, HAL.
  2. Georges Prat & Remzi Uctum, 2014. "Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data," Working Papers 2014-235, Department of Research, Ipag Business School.

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