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

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  • Robineau, François-Mathieu
  • Bessec, Marie

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’s 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.

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File URL: http://basepub.dauphine.fr/xmlui/bitstream/123456789/10086/1/CF_02.pdf
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Bibliographic Info

Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/10086.

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Date of creation: 2003
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Publication status: Published in Revue Economique, 2003, Vol. 54, no. 6. pp. 1213-38.Length: -1175 pages
Handle: RePEc:dau:papers:123456789/10086

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Keywords: Changement de régime markovien; Marché des changes;

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  1. Paul Grauwe & Hans Dewachter, 1993. "A chaotic model of the exchange rate: The role of fundamentalists and chartists," Open Economies Review, Springer, Springer, vol. 4(4), pages 351-379, December.
  2. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 98(4), pages 703-38, August.
  3. Donald W.K. Andrews & Werner Ploberger, 1992. "Optimal Tests When a Nuisance Parameter Is Present Only Under the Alternative," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1015, Cowles Foundation for Research in Economics, Yale University.
  4. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, Elsevier, vol. 14(1-2), pages 3-24, February.
  5. Hansen, Bruce E, 1996. "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 64(2), pages 413-30, March.
  6. Flood, Robert P & Rose, Andrew K, 1998. "Understanding Exchange Rate Volatility Without the Contrivance of Macroeconomics," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1944, C.E.P.R. Discussion Papers.
  7. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, Econometric Society, vol. 57(2), pages 357-84, March.
  8. Lui, Yu-Hon & Mole, David, 1998. "The use of fundamental and technical analyses by foreign exchange dealers: Hong Kong evidence," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(3), pages 535-545, June.
  9. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, Elsevier, vol. 45(1-2), pages 39-70.
  10. Murray, J. & Van Norden, S. & Vigfusson, R., 1996. "Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?," Technical Reports, Bank of Canada 76, Bank of Canada.
  11. Durland, J Michael & McCurdy, Thomas H, 1994. "Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 12(3), pages 279-88, July.
  12. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, American Economic Association, vol. 80(4), pages 689-713, September.
  13. Remzi Uctum & Georges Prat, 1996. "Formation des anticipations de change : l'hypothèse d'un processus mixte," Économie et Prévision, Programme National Persée, Programme National Persée, vol. 125(4), pages 117-135.
  14. Frankel, Jeffrey A & Froot, Kenneth A, 1986. "Understanding the U.S. Dollar in the Eighties: The Expectations of Chartists and Fundamentalists," The Economic Record, The Economic Society of Australia, The Economic Society of Australia, vol. 0(0), pages 24-38, Supplemen.
  15. Yin-Wong Cheung & Menzie D. Chinn, 2000. "Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market," CESifo Working Paper Series 251, CESifo Group Munich.
  16. Amano, Robert A. & van Norden, Simon, 1995. "Terms of trade and real exchange rates: the Canadian evidence," Journal of International Money and Finance, Elsevier, Elsevier, vol. 14(1), pages 83-104, February.
  17. Velayoudom Marimoutou & Éric Girardin, 1997. "Les fondamentaux permettent-ils d'améliorer la prévision du taux de change franc-dollar ?," Revue économique, Presses de Sciences-Po, Presses de Sciences-Po, vol. 0(3), pages 661-672.
  18. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, American Finance Association, vol. 45(2), pages 379-95, June.
  19. Moosa , Imad A. & Korczak, Marta, 2000. "The Role of Fundamentalists and Technicians in Exchange Rate Determination," Economia Internazionale / International Economics, Camera di Commercio di Genova, vol. 53(1), pages 97-106.
  20. Vigfusson, R., 1996. "Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach," Working Papers, Bank of Canada 96-1, Bank of Canada.
  21. Murray, John & Mark Zelmer & Zahir Antia, 2000. "International Financial Crises and Flexible Exchange Rates: Some Policy Lessons from Canada," Technical Reports, Bank of Canada 88, Bank of Canada.
  22. De Grauwe, Paul, 1994. "Exchange Rates in Search of Fundamental Variables," CEPR Discussion Papers, C.E.P.R. Discussion Papers 1073, C.E.P.R. Discussion Papers.
  23. Ralf Ahrens & Stefan Reitz, 2000. "Chartist Prediction in the Foreign Exchange Market. Evidence from the Daily Dollar/DM Exchange Rate," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 1683, Econometric Society.
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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, Department of Research, Ipag Business School 2014-235, Department of Research, Ipag Business School.

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