Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/45900 
Year of Publication: 
2011
Series/Report no.: 
Kiel Working Paper No. 1706
Publisher: 
Kiel Institute for the World Economy (IfW), Kiel
Abstract: 
Chartist and fundamentalist models have proven to be capable of replicating stylized facts on speculative markets. In general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective trader groups. This paper investigates whether or not regressive and extrapolative expectations themselves exhibit significant nonlinear dynamics. The empirical results are based on a new data set from the European Central Bank Survey of Professional Forecasters on oil price expectations. In particular, we find that forecasters form destabilizing expectations in the neighborhood of the fundamental value, whereas expectations tend to be stabilizing in the presence of substantial oil price misalignment.
Subjects: 
Agent based models
nonlinear expectations
survey data
JEL: 
F31
D84
C33
Document Type: 
Working Paper

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