Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/159796 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Quaderni - Working Paper DSE No. 957
Verlag: 
Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE), Bologna
Zusammenfassung: 
This paper investigates the role of higher order beliefs in the formation of exchange rates. Our model combines a standard macroeconomic dynamics for the exchange rates with a microeconomic specification of agents' heterogeneity and their interactions. The empirical analysis relies on a state space model estimated through Bayesian methods. We exploit data on macroeconomic fundamentals in a panel of subjective forecasts on the euro/dollar exchange rate. The equilibrium strategy on the optimization process of the predictors shows that higher order beliefs is the relevant factor in performing individual forecasting. Moreover public information, namely past exchange rates and fundamentals, plays a crucial role as a coordination device to generate expectations among agents on the basis of their forecasting abilities.
JEL: 
D82
F41
C11
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by-nc Logo
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
827.05 kB





Publikationen in EconStor sind urheberrechtlich geschützt.