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Citations for "Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market"

by Elliott, Graham & ITO, TAKATOSHI

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  1. Cheolbeom Park & Sookyung Park, 2014. "Can Monetary Policy Cause the Uncovered Interest Parity Puzzle?," Discussion Paper Series 1404, Institute of Economic Research, Korea University.
  2. Pasquale Della Corte & Lucio Sarno & Giulia Sestieri, 2012. "The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 100-115, February.
  3. Reitz, Stefan & Stadtmann, Georg & Taylor, Mark P., 2010. "The effects of Japanese interventions on FX-forecast heterogeneity," Economics Letters, Elsevier, vol. 108(1), pages 62-64, July.
  4. Rime, Dagfinn & Sarno, Lucio & Sojli, Elvira, 2010. "Exchange rate forecasting, order flow and macroeconomic information," Journal of International Economics, Elsevier, vol. 80(1), pages 72-88, January.
  5. Bacchetta, Philippe & van Wincoop, Eric, 2003. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," CEPR Discussion Papers 3808, C.E.P.R. Discussion Papers.
  6. Audretsch, David B. & Stadtmann, Georg, 2005. "Biases in FX-Forecasts: Evidence from Panel Data," Research Notes 19, Deutsche Bank Research.
  7. M. Beine & A. Bénassy-Quéré & E. Dauchy & R. MacDonald, 2002. "The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity," THEMA Working Papers 2002-22, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  8. MacDonald, Ronald & Menkhoff, Lukas & Rebitzky, Rafael R., 2009. "Exchange rate forecasters’ performance: evidence of skill?," SIRE Discussion Papers 2009-10, Scottish Institute for Research in Economics (SIRE).
  9. Hommes, Cars, 2011. "The heterogeneous expectations hypothesis: Some evidence from the lab," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 1-24, January.
  10. Ron Jongen & Willem F.C. Verschoor & Christian C.P. Wolff, 2008. "Foreign Exchange Rate Expectations: Survey And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 140-165, 02.
  11. Michel Beine & Agnès Bénassy-Quéré & Hélène Colas, 2003. "Imitation Amongst Exchange-Rate Forecasters: Evidence from Survey Data," THEMA Working Papers 2003-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  12. M. Hashem Pesaran & Martin Weale, 2005. "Survey Expectations," IEPR Working Papers 05.30, Institute of Economic Policy Research (IEPR).
  13. Frenkel, Michael & Rülke, Jan-Christoph & Zimmermann, Lilli, 2013. "Do private sector forecasters chase after IMF or OECD forecasts?," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 217-229.
  14. Eun, Cheol S. & Sabherwal, Sanjiv, 2002. "Forecasting exchange rates: Do banks know better?," Global Finance Journal, Elsevier, vol. 13(2), pages 195-215.
  15. Cheolbeom Park, 2002. "Speculative Behavior and Heterogeneous Expectations: Theory and Evidence," Departmental Working Papers wp0205, National University of Singapore, Department of Economics.
  16. Domenico Colucci & Vincenzo Valori, 2008. "Asset Price Dynamics When Behavioural Heterogeneity Varies," Computational Economics, Society for Computational Economics, vol. 32(1), pages 3-20, September.
  17. Ken Miyajima, 2013. "Foreign exchange intervention and expectation in emerging economies," BIS Working Papers 414, Bank for International Settlements.
  18. Michael Melvin & John Prins & Duncan Shand, 2013. "Forecasting Exchange Rates: An Investor Perspective," CESifo Working Paper Series 4238, CESifo Group Munich.
  19. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2015. "Exchange rate forecasts and expected fundamentals," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 235-256.
  20. Hamid Baghestani & Liliana Danila, 2014. "Interest Rate and Exchange Rate Forecasting in the Czech Republic: Do Analysts Know Better than a Random Walk?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(4), pages 282-295, September.
  21. Reitz, Stefan & Rülke, Jan-Christoph & Stadtmann, Georg, 2012. "Nonlinear expectations in speculative markets – Evidence from the ECB survey of professional forecasters," Journal of Economic Dynamics and Control, Elsevier, vol. 36(9), pages 1349-1363.
  22. Christian Dreger & Georg Stadtmann, 2008. "What drives heterogeneity in foreign exchange rate expectations: insights from a new survey," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 360-367.
  23. Cheolbeom Park, 2001. "Stock Returns and the Dispersion in Earnings Forecasts," Departmental Working Papers wp0117, National University of Singapore, Department of Economics.
  24. Frenkel, Michael & Rülke, Jan-Christoph & Stadtmann, Georg, 2009. "Two currencies, one model? Evidence from the Wall Street Journal forecast poll," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 588-596, October.
  25. Philippe Bacchetta & Eric van Wincoop, 2005. "Can Information Heterogeneity Explain the Exchange Rate Determination?," FAME Research Paper Series rp155, International Center for Financial Asset Management and Engineering.
  26. Sager, Michael & Taylor, Mark P., 2014. "Generating currency trading rules from the term structure of forward foreign exchange premia," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 230-250.
  27. Jongen, R. & Muller, A. & Verschoor, W.F.C., 2012. "Using survey data to resolve the exchange risk exposure puzzle: Evidence from U.S. multinational firms," Journal of International Money and Finance, Elsevier, vol. 31(2), pages 148-169.
  28. Christian Pierdzioch & Jan-Christoph Rülke & Georg Stadtmann, 2012. "Housing Starts in Canada, Japan, and the United States: Do Forecasters Herd?," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 754-773, October.
  29. Koske, Isabell & Stadtmann, Georg, 2009. "Exchange rate expectations: The role of person specific forward looking variables," Economics Letters, Elsevier, vol. 105(3), pages 221-223, December.
  30. Fisher, Eric O'N., 2006. "The forward premium in a model with heterogeneous prior beliefs," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 48-70, February.
  31. Menkhoff, Lukas & Rebitzky, Rafael R. & Schröder, Michael, 2009. "Heterogeneity in exchange rate expectations: Evidence on the chartist-fundamentalist approach," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 241-252, May.
  32. Francesca Pancotto & Filippo Maria Pericoli & Marco Pistagnesi, 2013. "Inefficiency in Survey Exchange Rates Forecasts," Center for Economic Research (RECent) 090, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
  33. Frenkel, Michael & Lis, Eliza M. & Rülke, Jan-Christoph, 2011. "Has the economic crisis of 2007-2009 changed the expectation formation process in the Euro area?," Economic Modelling, Elsevier, vol. 28(4), pages 1808-1814, July.
  34. Christian Wolff & Ron Jongen & Willem F.C. Verschoor, 2009. "Time-Variation in Term Permia: International Survey-Based Evidence," LSF Research Working Paper Series 09-02, Luxembourg School of Finance, University of Luxembourg.
  35. Chortareas, Georgios & Jitmaneeroj, Boonlert & Wood, Andrew, 2012. "Forecast rationality and monetary policy frameworks: Evidence from UK interest rate forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 209-231.
  36. Reitz, Stefan & Ruelke, Jan & Stadtmann, Georg, 2009. "Are oil-price-forecasters finally right? -- Regressive expectations towards more fundamental values of the oil price," MPRA Paper 15607, University Library of Munich, Germany.
  37. Christodoulakis, George & Mamatzakis, Emmanuel, 2013. "Behavioural asymmetries in the G7 foreign exchange market," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 261-270.
  38. Beber, Alessandro & Fabbri, Daniela, 2012. "Who times the foreign exchange market? Corporate speculation and CEO characteristics," Journal of Corporate Finance, Elsevier, vol. 18(5), pages 1065-1087.
  39. F. Pancotto & G. Pignataro & D. Raggi, 2014. "Higher order beliefs and the dynamics of exchange rates," Working Papers wp957, Dipartimento Scienze Economiche, Universita' di Bologna.
  40. Reitz, Stefan & Rülke, Jan & Stadtmann, Georg, 2012. "Nonlinear Expectations in Speculative Markets," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62045, Verein für Socialpolitik / German Economic Association.
  41. Stefan Reitz & Jan C. Rülke & Georg Stadtmann, 2010. "Regressive Oil Price Expectations Toward More Fundamental Values of the Oil Price," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(4), pages 454-466, August.
  42. Ruelke, Jan C. & Frenkel, Michael R. & Stadtmann, Georg, 2010. "Expectations on the yen/dollar exchange rate - Evidence from the Wall Street Journal forecast poll," Journal of the Japanese and International Economies, Elsevier, vol. 24(3), pages 355-368, September.
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