Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/24294 
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dc.contributor.authorSchröder, Michaelen
dc.contributor.authorDornau, Roberten
dc.date.accessioned2009-02-16T14:50:54Z-
dc.date.available2009-02-16T14:50:54Z-
dc.date.issued1999-
dc.identifier.urihttp://hdl.handle.net/10419/24294-
dc.description.abstractDo financial market analysts use structural economic models when forecasting exchange rates? This is the leading question analysed in this paper. In contrast to other studies we use expectations data instead of observable variables. Therefore we analyse the implicit structural models forecasters have in mind when forming their exchange rate expectations. The economic exchange rate models included in our study are purchasing power parity, the flexible-price monetary model, the sticky-price monetary model and the Mundell-Fleming model. These models are the theoretical basis for the estimation of latent structural models using the categorical expectations data of the ZEW financial market survey. The expectation variables used to explain expected exchange rates are short term interest rates, long term interest rates and business expectations. Our results show that the flexible-price monetary model is clearly rejected, but the sticky-price monetary model (in case of DM/Pound Sterling and DM/Yen) and the Mundell-Fleming model (in case of DM/US-Dollar) are both compatible with the estimated parameters.en
dc.language.isoengen
dc.publisher|aZentrum für Europäische Wirtschaftsforschung (ZEW) |cMannheimen
dc.relation.ispartofseries|aZEW Discussion Papers |x99-08en
dc.subject.jelC35en
dc.subject.jelF31en
dc.subject.ddc330en
dc.subject.keywordExchange rate modellingen
dc.subject.keywordExpectationsen
dc.subject.keywordSurvey dataen
dc.subject.keywordCategorical Dataen
dc.subject.stwWechselkursen
dc.subject.stwRationale Erwartungen
dc.subject.stwWertpapieranalyseen
dc.subject.stwWechselkurstheorieen
dc.subject.stwSchätzungen
dc.subject.stwDeutschlanden
dc.titleWhat's on their mind: do exchange rate forecasters stick to theoretical models?-
dc.typeWorking Paperen
dc.identifier.ppn853462836en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:zewdip:5222en

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