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Heterogeneity of agents, transactions costs and the exchange rate

  • De Grauwe, Paul
  • Grimaldi, Marianna
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    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1889(04)00063-6
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 29 (2005)
    Issue (Month): 4 (April)
    Pages: 691-719

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    Handle: RePEc:eee:dyncon:v:29:y:2005:i:4:p:691-719
    Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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    1. Engel, C., 1996. "Long-Run PPP May Not Hold After All," Working Papers 96-05, University of Washington, Department of Economics.
    2. Philippe Bacchetta & Eric van Wincoop, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," Working Papers 03.02, Swiss National Bank, Study Center Gerzensee.
    3. P. de Grauwe & I. Vansteenkiste, 2003. "Exchange Rates and Fundamentals a Non-Linear Relationship?," DNB Staff Reports (discontinued) 78, Netherlands Central Bank.
    4. William A. Brock & Cars H. Hommes, 1997. "A Rational Route to Randomness," Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
    5. Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002. "Speculative behaviour and complex asset price dynamics: a global analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 173-197, October.
    6. Gilles Teyssière & Alan Kirman, 2001. "Microeconomic Models for Long-Memory in the Volatility of Financial Time Series," CeNDEF Workshop Papers, January 2001 5A.4, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    7. Charles Engel & John H. Rogers, 1995. "How wide is the border?," Research Working Paper 95-09, Federal Reserve Bank of Kansas City.
    8. Cheung, Yin-Wong & Chinn, Menzie David & Marsh, Ian W, 1999. "How Do UK-Based Foreign Exchange Dealers Think Their Market Operates?," CEPR Discussion Papers 2230, C.E.P.R. Discussion Papers.
    9. De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
    10. Haskel, Jonathan & Wolf, Holger, 2001. " The Law of One Price--A Case Study," Scandinavian Journal of Economics, Wiley Blackwell, vol. 103(4), pages 545-58, December.
    11. Maurice Obstfeld & Kenneth Rogoff, 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," NBER Working Papers 7777, National Bureau of Economic Research, Inc.
    12. Lutz Kilian & Mark P. Taylor, 2001. "Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?," Working Papers 464, Research Seminar in International Economics, University of Michigan.
    13. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
    14. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
    15. Shang-Jin Wei & Jungshik Kim, 1999. "The Big Players in the Foreign Exchange Market: Do They Trade on Information or Noise?," CID Working Papers 5, Center for International Development at Harvard University.
    16. Maurice Obstfeld & Kenneth S. Rogoff, 1996. "Foundations of International Macroeconomics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262150476, December.
    17. Paul De Grauwe & Marianna Grimaldi, 2001. "Exchange Rates, Prices and Money. A Long Run Perspective," Working Papers 46, Oesterreichische Nationalbank (Austrian Central Bank).
    18. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    19. Baxter, Marianne & Stockman, Alan C., 1989. "Business cycles and the exchange-rate regime : Some international evidence," Journal of Monetary Economics, Elsevier, vol. 23(3), pages 377-400, May.
    20. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
    21. de Grauwe, Paul & Grimaldi, Marianna, 2001. "Exchange Rates, Prices and Money: A Long-Run Perspective," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(4), pages 289-313, October.
    22. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    23. Koedijk, Kees G. & Stork, Philip A. & de Vries, Casper G., 1992. "Differences between foreign exchange rate regimes: The view from the tails," Journal of International Money and Finance, Elsevier, vol. 11(5), pages 462-473, October.
    24. Dumas, Bernard, 1992. "Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 153-80.
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