Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach

Menkhoff, Lukas; Rebitzky, Rafael R.; Schröder, Michael

doi:10.2139/ssrn.1317701

Cited by 22 publications

(2 citation statements)

References 50 publications

(56 reference statements)

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“…Finally, the third component encapsulates the idea of price misalignment. This is empirically backed by Menkhoff et al (2009), who observes that when the price is further away from its fundamental value professionals tend more and more to anticipate its mean reversion toward equilibrium. In a setting where the current price tends to move far away from the fundamental value, chartism becomes riskier and the fundamentalism is more attractive.…”

Section: Evolution Of the Market Sharesmentioning

confidence: 94%

A new structural stochastic volatility model of asset pricing and its stylized facts

Pruna¹,

Polukarov²,

Jennings³

2016

Preprint

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Building on a prominent agent-based model, we present a new structural stochastic volatility asset pricing model of fundamentalists vs. chartists where the prices are determined based on excess demand. Specifically, this allows for modelling stochastic interactions between agents, based on a herding process corrected by a price misalignment, and incorporating strong noise components in the agents' demand. The model's parameters are estimated using the method of simulated moments, where the moments reflect the basic properties of the daily returns of a stock market index. In addition, for the first time we apply a (parametric) bootstrap method in a setting where the switching between strategies is modelled using a discrete choice approach. As we demonstrate, the resulting dynamics replicate a rich set of the stylized facts of the daily financial data including: heavy tails, volatility clustering, long memory in absolute returns, as well as the absence of autocorrelation in raw returns, volatility-volume correlations, aggregate Gaussianity, concave price impact and extreme price events.

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Section: Evolution Of the Market Sharesmentioning

confidence: 94%

A new structural stochastic volatility model of asset pricing and its stylized facts

Pruna¹,

Polukarov²,

Jennings³

2016

Preprint

View full text Add to dashboard Cite

show abstract

“…The bell-shaped switching function ( 16) was originally proposed by De Grauwe et al (1993) to explain the dynamics of foreign exchange markets. See He and Westerhoff (2005), Gaunersdorfer et al (2008), Dieci and Westerhoff (2012, 2016), and Campisi et al (2018 for related economic applications and Kilian and Taylor (2003), Gaunersdorfer and Hommes (2007), Menkhoff et al (2009), Franke and Westerhoff (2012), and Kouwenberg and Zwinkels (2014) for general empirical support of this modeling approach. 10 Investors' average house price expectations are defined by…”

Section: The Housing Market Modelmentioning

confidence: 99%

Housing Markets, Expectation Formation and Interest Rates

2020

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Based on a behavioral stock-flow housing market model in which the expectation formation behavior of boundedly rational and heterogeneous investors may generate endogenous boom-bust cycles, we explore whether central banks can stabilize housing markets via the interest rate. Using a mix of analytical and numerical tools, we find that the ability of central banks to tame housing markets by increasing the base (target) interest rate, thereby softening the demand pressure on house prices, is rather limited. However, central banks can greatly improve the stability of housing markets by dynamically adjusting the interest rate with respect to mispricing in the housing market.

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Chinese Experience With Global 3g Standard-Setting

Whalley

Zhou

2011

China's Integration Into the World Economy

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Chinese Experience with Global 3G Standard-Setting Abstract China's growth strategy as set out in the 11 th 5-year plan in 2005 called for upgrading of product quality, the development of an innovation society, and reduced reliance on foreign intellectual property with high license fees. Consistent with this policy, China has been involved in recent years with the development of a Chinese standard in third generation (3G) mobile phone technology, both in negotiating the standard and seeing it through to commercialization. This is the first case of a developing country both originating and successfully negotiating a telecommunications standard and this experience raises issues for China's future development strategy based on product and process upgrading in manufacturing. We argue that while precedent setting from an international negotiating point of view, the experience has thus far is unproven commercially. But the lessons learned will benefit future related efforts in follow-on technologies if similar Chinese efforts are made. This paper documents Chinese standard-setting efforts from proposal submission to ITU to the current large-scale trial network deployment in China and overseas trial networks deployment. We discuss the underlying objectives for this initiative, evaluate its effectiveness, and assess its broader implications for Chinese development policy. JEL Code: O57. Terms of use: Documents in

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Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach

Cited by 22 publications

References 50 publications

A new structural stochastic volatility model of asset pricing and its stylized facts

A new structural stochastic volatility model of asset pricing and its stylized facts

Housing Markets, Expectation Formation and Interest Rates

Chinese Experience With Global 3g Standard-Setting

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