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Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS

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Cited by:

  1. Frijns, Bart & Zwinkels, Remco C.J., 2020. "Absence of speculation in the European sovereign debt markets," Journal of Economic Behavior & Organization, Elsevier, vol. 169(C), pages 245-265.
  2. Po-Keng Cheng & Young Shin Kim, 2017. "Speculative bubbles and crashes： Fundamentalists and positive‐feedback trading," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1381370-138, January.
  3. Karsten Kohler & Benjamin Tippet & Engelbert Stockhammer, 2023. "House price cycles, housing systems, and growth models," European Journal of Economics and Economic Policies: Intervention, Edward Elgar Publishing, vol. 20(3), pages 461-490, December.
  4. Xue-Zhong He & Youwei Li, 2017. "The adaptiveness in stock markets: testing the stylized facts in the DAX 30," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1071-1094, November.
  5. Li, Xiao-Ping & Zhou, Chun-Yang & Tong, Bin, 2019. "Carry trades, agent heterogeneity and the exchange rate," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 343-358.
  6. Hommes, Cars & in ’t Veld, Daan, 2017. "Booms, busts and behavioural heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
  7. Zhenxi Chen & Weihong Huang & Huanhuan Zheng, 2018. "Estimating heterogeneous agents behavior in a two-market financial system," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(3), pages 491-510, October.
  8. Beckmann, Joscha & Czudaj, Robert L., 2020. "Fundamental determinants of exchange rate expectations," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224617, Verein für Socialpolitik / German Economic Association.
  9. Cifarelli, Giulio & Paladino, Giovanna, 2018. "Can the interaction between a single long-term attractor and heterogeneous trading explain exchange rate behaviour? A nonlinear econometric investigation," MPRA Paper 83894, University Library of Munich, Germany.
  10. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  11. Bolt, Wilko & Demertzis, Maria & Diks, Cees & Hommes, Cars & Leij, Marco van der, 2019. "Identifying booms and busts in house prices under heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 234-259.
  12. Filippo Gusella & Engelbert Stockhammer, 2021. "Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter," Metroeconomica, Wiley Blackwell, vol. 72(4), pages 758-797, November.
  13. Gardini, Laura & Radi, Davide & Schmitt, Noemi & Sushko, Iryna & Westerhoff, Frank, 2022. "Currency manipulation and currency wars: Analyzing the dynamics of competitive central bank interventions," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
  14. Cifarelli, Giulio & Paladino, Giovanna, 2018. "Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?," Research in International Business and Finance, Elsevier, vol. 46(C), pages 313-323.
  15. Chiarella, Carl & ter Ellen, Saskia & He, Xue-Zhong & Wu, Eliza, 2015. "Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 19-34.
  16. Bolt, W. & Demertzis, D. & Diks, C.G.H. & Van der Leij, M.J., 2011. "Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices," CeNDEF Working Papers 11-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  17. Polyzos, Stathis & Samitas, Aristeidis & Kampouris, Ilias, 2021. "Economic stimulus through bank regulation: Government responses to the COVID-19 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  18. Baur, Dirk G. & Glover, Kristoffer J., 2014. "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 116-133.
  19. Frijns, Bart & Zwinkels, Remco C.J., 2018. "Time-varying arbitrage and dynamic price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 485-502.
  20. de Zwart, Gerben & Markwat, Thijs & Swinkels, Laurens & van Dijk, Dick, 2009. "The economic value of fundamental and technical information in emerging currency markets," Journal of International Money and Finance, Elsevier, vol. 28(4), pages 581-604, June.
  21. H. Dewachter & R. Houssa & M. Lyrio & P.R. Kaltwasser, 2011. "Dynamic Forecasting Rules and the Complexity of Exchange Rate Dynamics," Review of Business and Economic Literature, Intersentia, vol. 56(4), pages 454-472, December.
  22. ter Ellen, Saskia & Hommes, Cars H. & Zwinkels, Remco C.J., 2021. "Comparing behavioural heterogeneity across asset classes," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 747-769.
  23. He, Xue-Zhong & Zheng, Huanhuan, 2016. "Trading heterogeneity under information uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 64-80.
  24. Olivier Damette & Stéphane Goutte, 2014. "Tobin tax and trading volume tightening: a reassessment," Working Papers halshs-00926805, HAL.
  25. Bolt, Wilko & Demertzis, Maria & Diks, Cees & Hommes, Cars & Leij, Marco van der, 2019. "Identifying booms and busts in house prices under heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 103(C), pages 234-259.
  26. Zheng, Huanhuan, 2020. "Coordinated bubbles and crashes," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
  27. Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2017. "Validation of Agent-Based Models in Economics and Finance," LEM Papers Series 2017/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  28. Goldbaum, David & Zwinkels, Remco C.J., 2014. "An empirical examination of heterogeneity and switching in foreign exchange markets," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 667-684.
  29. Lof, Matthijs, 2012. "Heterogeneity in stock prices: A STAR model with multivariate transition function," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1845-1854.
  30. Tedeschi, Gabriele & Recchioni, Maria Cristina & Berardi, Simone, 2019. "An approach to identifying micro behavior: How banks’ strategies influence financial cycles," Journal of Economic Behavior & Organization, Elsevier, vol. 162(C), pages 329-346.
  31. Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P. & Zwinkels, Remco C.J., 2012. "Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 719-735.
  32. Kukacka, Jiri & Barunik, Jozef, 2017. "Estimation of financial agent-based models with simulated maximum likelihood," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 21-45.
  33. Chiarella, Carl & He, Xue-Zhong & Zwinkels, Remco C.J., 2014. "Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500," Journal of Economic Behavior & Organization, Elsevier, vol. 105(C), pages 1-16.
  34. Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan, 2012. "Estimating behavioural heterogeneity under regime switching," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 446-460.
  35. Chen, Zhenxi, 2014. "Estimating heterogeneous agents behavior with different investment horizons in stock markets," FinMaP-Working Papers 5, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  36. Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
  37. Li, XiaoPing & Tong, Bin & Zhou, ChunYang, 2020. "Uncertainty aversion, carry trades and agent heterogeneity in the FX market," Finance Research Letters, Elsevier, vol. 36(C).
  38. Zhong-Qiang Zhou & Jie Li & Wei Zhang & Xiong Xiong, 2022. "Government intervention model based on behavioral heterogeneity for China’s stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-19, December.
  39. Bolt, W. & Demertzis, D. & Diks, C.G.H. & Van der Leij, M.J., 2011. "Complex Methods in Economics: An Example of Behavioral Heterogeneity in House Prices," CeNDEF Working Papers 11-12, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  40. Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
  41. Simone Berardi & Gabriele Tedeschi, 2016. "How banks’ strategies influence financial cycles: An approach to identifying micro behavior," Working Papers 2016/24, Economics Department, Universitat Jaume I, Castellón (Spain).
  42. Olivier Damette & St鰨ane Goutte, 2015. "Tobin tax and trading volume tightening: a reassessment," Applied Economics, Taylor & Francis Journals, vol. 47(29), pages 3124-3141, June.
  43. Mengling Li & Huanhuan Zheng, 2017. "Heterogeneous trading and complex price dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 437-442, July.
  44. King, Michael R. & Osler, Carol L. & Rime, Dagfinn, 2013. "The market microstructure approach to foreign exchange: Looking back and looking forward," Journal of International Money and Finance, Elsevier, vol. 38(C), pages 95-119.
  45. João Barata R. B. Barroso, 2014. "Behavioral Models of the Foreign Exchange Market: is there any empirical content?," Working Papers Series 364, Central Bank of Brazil, Research Department.
  46. ter Ellen, Saskia & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2013. "Dynamic expectation formation in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 75-97.
  47. Beckmann, Joscha & Czudaj, Robert L., 2020. "Fundamental determinants of exchange rate expectations," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224617, Verein für Socialpolitik / German Economic Association.
  48. Filippo Gusella, 2019. "Modelling Minskyan financial cycles with fundamentalist and extrapolative price strategies: An empirical analysis via the Kalman filter approach," Working Papers - Economics wp2019_24.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  49. Filippo Gusella & Giorgio Ricchiuti, 2022. "A State-Space Approach for Time-Series Prediction of an Heterogeneous Agent Model," Working Papers - Economics wp2022_20.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  50. Lof, Matthijs, 2013. "Essays on Expectations and the Econometrics of Asset Pricing," MPRA Paper 59064, University Library of Munich, Germany.
  51. Lin Liu, 2022. "Economic Uncertainty and Exchange Market Pressure: Evidence From China," SAGE Open, , vol. 12(1), pages 21582440211, January.
  52. Wai-Mun Chia & Mengling Li & Huanhuan Zheng, 2017. "Behavioral heterogeneity in the Australian housing market," Applied Economics, Taylor & Francis Journals, vol. 49(9), pages 872-885, February.
  53. Willem F.C. Verschoor & Remco C.J. Zwinkels, 2013. "Do foreign exchange fund managers behave like heterogeneous agents?," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 1125-1134, February.
  54. Saskia ter Ellen & Willem F. C. Verschoor, 2018. "Heterogeneous Beliefs and Asset Price Dynamics: A Survey of Recent Evidence," Dynamic Modeling and Econometrics in Economics and Finance, in: Fredj Jawadi (ed.), Uncertainty, Expectations and Asset Price Dynamics, pages 53-79, Springer.
  55. Katusiime, Lorna & Shamsuddin, Abul & Agbola, Frank W., 2015. "Foreign exchange market efficiency and profitability of trading rules: Evidence from a developing country," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 315-332.
  56. Saskia ter Ellen & Willem F.C. Verschoor, 2017. "Heterogeneous beliefs and asset price dynamics: a survey of recent evidence," Working Paper 2017/22, Norges Bank.
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