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Exchange rate expectations of chartists and fundamentalists

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  • Dick, Christian D.
  • Menkhoff, Lukas

Abstract

This paper provides novel evidence on exchange rate expectations of both chartists and fundamentalists separately. These groups indeed form expectations differently. Chartists change their expectations more often; however, all professionals' expectations vary considerably as they generally follow strong exchange rate trends. In line with non-linear exchange rate-modeling, professionals expect mean reversion only if exchange rates deviate much from PPP. Chartists survive in FX markets as they forecast equally accurately as fundamentalists. Unexpected from an efficient market viewpoint, chartists even outperform fundamentalists at short horizons. Overall, these findings clearly support the chartist-fundamentalist approach.

Suggested Citation

  • Dick, Christian D. & Menkhoff, Lukas, 2012. "Exchange rate expectations of chartists and fundamentalists," ZEW Discussion Papers 12-026, ZEW - Leibniz Centre for European Economic Research.
    • Handle: RePEc:zbw:zewdip:12026
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    More about this item

    Keywords

    exchange rate formation; expectation formation; heterogeneous agent models; forecasting performance;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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