Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210093 
Year of Publication: 
2016
Series/Report no.: 
Working Paper No. 4/2016
Publisher: 
Norges Bank, Oslo
Abstract: 
Disagreement is used as a measure of both investor heterogeneity and uncertainty. We study whether disagreement captures heterogeneity or uncertainty for the foreign exchange market. We do so by relating disagreement to alternative measures of uncertainty, as well as by taking advantage of the different asset pricing implications of the two concepts. We find that whereas disagreement measures uncertainty conditionally, unconditionally this is only true during the peak of the global financial crisis.
Subjects: 
foreign exchange markets
disagreement
heterogeneous expectations
uncertainty
JEL: 
G12
G15
Persistent Identifier of the first edition: 
ISBN: 
978-82-7553-893-0
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Working Paper
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.