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Models of Exchange Rate Expectations: Heterogeneous Evidence from Panel Data

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Author Info
Benassy-Quere, A.
Larribeau, S.
MacDonald, R.

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Abstract

Central 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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Publisher Info
Paper provided by Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. in its series Papers with number 99-02.

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Date of creation: 1999
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Handle: RePEc:fth:pnegmi:99-02

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Postal: THEMA, Universite de Paris X-Nanterre, U.F.R. de science economiques, gestion, mathematiques et informatique, 200, avenue de la Republique 92001 Nanterre CEDEX.

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Related research
Keywords: FOREIGN EXCHANGE RATE ; EXPECTATIONS U.F.R. de science economiques; gestion; mathematiques et informatique; 200; avenue de la Republique 9 2001 Nanterre CEDEX. 38p.;

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Find related papers by JEL classification:
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
F31 - International Economics - - International Finance - - - Foreign Exchange

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Hsiao, C., 1992. "Random Coefficients Models," Papers 9212, Southern California - Department of Economics.
  2. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-95, June. [Downloadable!] (restricted)
    Other versions:
  3. Goodhart, Charles, 1988. "The Foreign Exchange Market: A Random Walk with a Dragging Anchor," Economica, London School of Economics and Political Science, vol. 55(220), pages 437-60, November. [Downloadable!] (restricted)
  4. MacDonald, Ronald, 1992. "Exchange Rate Survey Data: A Disaggregated G-7 Perspective," The Manchester School of Economic & Social Studies, Blackwell Publishing, vol. 60(0), pages 47-62, Supplemen.
  5. Cavaglia, Stefano & Verschoor, Willem F. C. & Wolff, Christian C. P., 1993. "Further evidence on exchange rate expectations," Journal of International Money and Finance, Elsevier, vol. 12(1), pages 78-98, February. [Downloadable!] (restricted)
  6. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October. [Downloadable!] (restricted)
  7. Pesaran, M. Hashem, 1989. "Consistency of short-term and long-term expectations," Journal of International Money and Finance, Elsevier, vol. 8(4), pages 511-516, December. [Downloadable!] (restricted)
  8. John Ammer & Allan D. Brunner, 1994. "Are banks market timers or market makers? Explaining foreign exchange trading profits," International Finance Discussion Papers 484, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  9. Ronald MacDonald, 1995. "Long-Run Exchange Rate Modeling - A Survey of the Recent Evidence," IMF Working Papers 95/14, International Monetary Fund.
  10. Frankel, Jeffrey A & Froot, Kenneth A, 1987. "Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations," American Economic Review, American Economic Association, vol. 77(1), pages 133-53, March. [Downloadable!] (restricted)
  11. Jeffrey A. Frankel & Kenneth A. Froot, 1987. "The Dollar as an Irrational Speculative Bubble: A Tale of Fundamentalisists," NBER Working Papers 1854, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  12. Jeffrey A. Frankel and Andrew K. Rose., 1995. "A Survey of Empirical Research on Nominal Exchange Rates," Center for International and Development Economics Research (CIDER) Working Papers C95-051, University of California at Berkeley.
    Other versions:
  13. MacDonald, Ronald & Torrance, T S, 1988. "On Risk, Rationality and Excessive Speculation in the Deutschmark-U.S. Dollar Exchange Market: Some Evidence Using Survey Data," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(2), pages 107-23, May.
  14. Jeffrey A. Frankel & Kenneth Froot, 1990. "Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market," NBER Working Papers 3470, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  15. Paul Hallwood & Ronald MacDonald, 2008. "International Money and Finance," Working papers 2008-02, University of Connecticut, Department of Economics. [Downloadable!]
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Paul De Grauwe & Agnieszka Markiewicz, 2006. "Learning to Forecast the Exchange Rate: Two Competing Approaches," Computing in Economics and Finance 2006 367, Society for Computational Economics. [Downloadable!]
    Other versions:
  2. M. Beine & A. Bénassy-Quéré & E. Dauchy & R. MacDonald, 2002. "The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity," THEMA Working Papers 2002-22, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
    Other versions:
  3. Keith Head & Thierry Mayer, 2002. "Illusory Border Effects: Distance Mismeasurement Inflates Estimates of Home Bias in Trade," Working Papers 2002-01, CEPII research center. [Downloadable!]
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