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

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  • Cifarelli, Giulio
  • Paladino, Giovanna

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.

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  • Cifarelli, Giulio & Paladino, Giovanna, 2018. "Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?," Research in International Business and Finance, Elsevier, vol. 46(C), pages 313-323.
    • Handle: RePEc:eee:riibaf:v:46:y:2018:i:c:p:313-323
    DOI: 10.1016/j.ribaf.2018.04.004
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    1. Soumya Datta, 2019. "Exchange rate dynamics under limits of arbitrage and heterogeneous expectations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(3), pages 521-550, September.

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