The role of fundamentalists and technicians in the foreign exchange market when the domestic currency is pegged to a basket
The exchange rate of the Kuwaiti dinar against the Japanese yen is modelled in terms of the activities of fundamentalists and technicians as well as the effect of the exchange rate arrangement. The results show that market forces, as represented by the activities of traders, play a role in the determination of the exchange rate although this role is secondary to the effect of the exchange rate arrangement as represented by changes in the exchange rate of the Kuwaiti dinar against the US dollar. Non-nested model selection tests reveal that models that are based on market forces only or the exchange rate arrangement only are misspecified. There is some evidence indicating that the activity of technicians is more important for this process than the activity of fundamentalists.
Volume (Year): 13 (2003)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
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.:
- M. H. Pesaran, 1974. "On the General Problem of Model Selection," Review of Economic Studies, Oxford University Press, vol. 41(2), pages 153-171.
- Moosa , Imad A. & Korczak, Marta, 2000. "The Role of Fundamentalists and Technicians in Exchange Rate Determination," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 53(1), pages 97-106.
- Davidson, Russell & MacKinnon, James G, 1981.
"Several Tests for Model Specification in the Presence of Alternative Hypotheses,"
Econometric Society, vol. 49(3), pages 781-793, May.
- Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
- 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 437-460, November.
- Dastoor, Naorayex K., 1983. "Some aspects of testing non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(2), pages 213-228, February.
- Allen, Helen & Taylor, Mark P, 1990. "Charts, Noise and Fundamentals in the London Foreign Exchange Market," Economic Journal, Royal Economic Society, vol. 100(400), pages 49-59, Supplemen.
- 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. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:13:y:2003:i:2:p:79-84. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.