Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/26547
Authors: 
Menkhoff, Lukas
Rebitzky, Rafael R.
Schröder, Michael
Year of Publication: 
2008
Series/Report no.: 
CESifo working paper 2502
Abstract: 
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.
Subjects: 
Exchange rate
heterogeneity
dispersion
chartists
fundamentalists
JEL: 
F31
G14
Document Type: 
Working Paper

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