The role of heterogeneous expectations in forward exchange market

被引：2
|
作者：
Li, Xiaoping [2 ]
Zhou, Chunyang [1 ]
Wu, Chongfeng [1 ]
机构：
[1] Shanghai Jiao Tong Univ, Dept Finance, Antai Coll Econ & Management, Shanghai 200052, Peoples R China
[2] Shanghai Lixin Univ Commerce, China Lixin Risk Management Res Inst, Shanghai 201620, Peoples R China
来源：
APPLIED ECONOMICS LETTERS | 2013年 / 20卷 / 05期
基金：
中国国家自然科学基金;
关键词：
heterogeneous expectations; foreign exchange rate; fundamentalists; chartists; regime switching model;
D O I：
10.1080/13504851.2012.714061
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We build a Markov regime switching model to examine the role of heterogeneous expectations in the forward exchange market, where the regime could be fundamentalists or chartists. Our empirical analysis of EUR/USD and USD/JPY forward markets suggest that the fundamentalists who follow negative feedback rule provide a mean-reverting dynamics into the market, while the chartists who follow positive feedback rule would reinforce the forward exchange rate movement. Finally, we find the chartists tend to switch to fundamentalists when the forward rate deviates away from its equilibrium.
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收藏
页码：471 / 475
页数：5
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