Resource title

Heterogeneity in exchange rate expectations: evidence on the chartist-fundamentalist approach

Resource image

image for OpenScout resource :: Heterogeneity in exchange rate expectations: evidence on the chartist-fundamentalist approach

Resource description

This paper examines heterogeneity in exchange rate expectations. Whereas agents' heterogeneity is key in modern exchange rate models, evidence on determinants of heterogeneity is weak so far. Our sample, covering expectations from about 300 forecasters over 15 years, shows remarkable time variation in dispersion. Determinants of dispersion are consistent with the chartist-fundamentalist approach: misalignments of the exchange rate and exchange rate changes explain heterogeneity. The risk premium influences heterogeneity as well, but possible impacts from macroeconomic variables and exchange rate's volatility are dominated by the other determinants.

Resource author

Lukas Menkhoff, Rafael R. Rebitzky, Michael Schröder

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/26547

Resource license

Adapt according to the presented license agreement and reference the original author.