Heterogeneity in exchange rate expectations: Evidence on the chartist-fundamentalist approach
Heterogeneity in exchange rate expectations: Evidence on the chartist-fundamentalist approach
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DOI：
10.1016/j.jebo.2009.01.007
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发表时间：
2009-05-01
影响因子：
2.2
通讯作者：
Schroeder, Michael
中科院分区：
文献类型：
--
作者：
Menkhoff, Lukas;Rebitzky, Rafael R.;Schroeder, Michael
本文考察了汇率预期的异质性。尽管代理人的异质性是现代汇率模型的关键，但迄今为止，关于异质性决定因素的证据还很薄弱。我们的样本涵盖了15年来约300名预测者的预期，显示出了显著的时间差异。分散的决定因素与宪图主义者-原教旨主义者的方法是一致的：汇率的失调和汇率变化解释了异质性。风险溢价也影响异质性，但宏观经济变量和汇率波动的可能影响主要由其他决定因素决定。(C) 2009 Elsevier B.V.版权所有
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 thus 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. (C) 2009 Elsevier B.V. All rights reserved.