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Exchange rate expectations of chartists and fundamentalists

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  • Dick, Christian D.
  • Menkhoff, Lukas

Abstract

This paper provides novel evidence on exchange rate expectations of both chartists and fundamentalists separately. These groups indeed form expectations differently. Chartists change their expectations more often; however, all professionals' expectations vary considerably as they generally follow strong exchange rate trends. In line with non-linear exchange rate-modeling, professionals expect mean reversion only if exchange rates deviate strongly from PPP. Chartists survive in currency markets since they forecast just as accurately as fundamentalists. Unexpectedly from an efficient market viewpoint, chartists even outperform fundamentalists at short horizons. Overall, these findings clearly support the chartist–fundamentalist approach.

Suggested Citation

  • Dick, Christian D. & Menkhoff, Lukas, 2013. "Exchange rate expectations of chartists and fundamentalists," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1362-1383.
    • Handle: RePEc:eee:dyncon:v:37:y:2013:i:7:p:1362-1383
    DOI: 10.1016/j.jedc.2013.03.006
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    More about this item

    Keywords

    F31; G15; D84; Exchange rate formation; Expectation formation; Heterogeneous agent models;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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