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Essais sur la modélisation de la dynamique du taux de change à travers les enseignements de la finance comportementale


  • Sterdyniak, Henri


  • Di Filippo, Gabriele


The thesis draws lessons from behavioural finance and nonlinear econometrics to build models that provide better explanatory and predictive powers of exchange rate dynamics than traditional models. The first article justifies the failure of traditional models by the failure of their underlying hypotheses and claims that the unique consideration of macroeconomic fundamentals is not sufficient to explain exchange rate dynamics. The second article analyses the success of order flows models and shows the necessity of considering agents’ behaviours to find a robust exchange rate model. The third article considers heterogeneous behaviours to explain exchange rate dynamics. It shows that a rule based on stylised facts about agents’ behaviours provides better exchange rate forecasts than the random walk. The fourth article proposes an exchange rate model based on conventions that prevail in the market. The convention model significantly beats the forecasting power of traditional models. The main message of the thesis is that macroeconomic fundamentals and agents’ behaviours are both essential components to explain and forecast exchange rate dynamics.

Suggested Citation

  • Di Filippo, Gabriele, 2011. "Essais sur la modélisation de la dynamique du taux de change à travers les enseignements de la finance comportementale," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/13211 edited by Sterdyniak, Henri, October.
  • Handle: RePEc:dau:thesis:123456789/13211
    Note: dissertation

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    References listed on IDEAS

    1. Yuliy Sannikov, 2008. "A Continuous-Time Version of the Principal-Agent Problem," Review of Economic Studies, Oxford University Press, vol. 75(3), pages 957-984.
    2. Bengt Holmstrom, 1979. "Moral Hazard and Observability," Bell Journal of Economics, The RAND Corporation, vol. 10(1), pages 74-91, Spring.
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    More about this item


    Taux de Change; Finance Comportementale; Econométrie Non-Linéaire; Exchange Rate; Behavioural Finance; Nonlinear Econometrics;

    JEL classification:

    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications


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