Models of Exchange Rate Expectations: Heterogeneous Evidence from Panel Data
AbstractCentral to an understanding of how foreign exchange markets work is the nature of the expectations formation process. Of particular interest are the potentially stabilising of destabilising nature of these expectations. In this paper we use a unique disaggregate expectations data base to model the expectations formation of around 40 leading foreign exchange forecasters/dealer.
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Bibliographic InfoPaper provided by CEPII research center in its series Working Papers with number 1999-03.
Date of creation: Apr 1999
Date of revision:
finance; panel data; model; expectations; exchange rate; heterogeneity;
Other versions of this item:
- Benassy-Quere, A. & Larribeau, S. & MacDonald, R., 1999. "Models of Exchange Rate Expectations: Heterogeneous Evidence from Panel Data," Papers 99-02, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
- A. Bénassy-Quéré & S. Larribeau & R. MacDonald, 1999. "Models of exchange rate expectations : heterogeneous evidence from Panel data," THEMA Working Papers 99-05, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-04-22 (All new papers)
- NEP-IFN-1999-04-22 (International Finance)
- NEP-MON-1999-04-22 (Monetary Economics)
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