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


  • Marie Bessec
  • François-Mathieu Robineau


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. Classification JEL : F31.

Suggested Citation

  • Marie Bessec & François-Mathieu Robineau, 2003. "Comportements chartistes et fondamentalistes. Coexistence ou domination alternative sur le marché des changes?," Revue économique, Presses de Sciences-Po, vol. 54(6), pages 1213-1238.
  • Handle: RePEc:cai:recosp:reco_546_1213

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    References listed on IDEAS

    1. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
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    4. Francisco Maeso-Fernandez & Chiara Osbat & Bernd Schnatz, 2002. "Determinants of the Euro Real Effective Exchange Rate: A BEER/PEER Approach," Australian Economic Papers, Wiley Blackwell, vol. 41(4), pages 437-461, December.
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    7. John Williamson, 1994. "Estimating Equilibrium Exchange Rates," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 17.
    8. Germano Mwabu, 2002. "Working Paper 38 - Health Development in Africa," Working Paper Series 172, African Development Bank.
    9. Ronald MacDonald, 1997. "What Determines Real Exchange Rates? The Long and Short of it," IMF Working Papers 97/21, International Monetary Fund.
    10. Ronald MacDonald & Peter B. Clark, 1998. "Exchange Rates and Economic Fundamentals; A Methodological Comparison of BEERs and FEERs," IMF Working Papers 98/67, International Monetary Fund.
    11. Anonymous, 2002. "Selected Papers: Abstracts," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 34(02), August.
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    Cited by:

    1. Georges Prat & Remzi Uctum, 2014. "Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data," EconomiX Working Papers 2014-17, University of Paris Nanterre, EconomiX.
    2. Olivier Damette & Stéphane Goutte, 2015. "Tobin tax and trading volume tightening: a reassessment," Applied Economics, Taylor & Francis Journals, vol. 47(29), pages 3124-3141, June.

    More about this item

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange


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