Exchange rate expectations of chartists and fundamentalists


Dick, Christian D. ; Menkhoff, Lukas


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URL: https://ub-madoc.bib.uni-mannheim.de/32236
URN: urn:nbn:de:bsz:180-madoc-322360
Document Type: Working paper
Year of publication: 2012
The title of a journal, publication series: ZEW Discussion Papers
Volume: 12-026
Place of publication: Mannheim
Publication language: English
Institution: Sonstige Einrichtungen > ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung
MADOC publication series: Veröffentlichungen des ZEW (Leibniz-Zentrum für Europäische Wirtschaftsforschung) > ZEW Discussion Papers
Subject: 330 Economics
Classification: JEL: F31 , G15 , D84,
Keywords (English): Exchange rate formation , expectation formation , heterogeneous agent models , forecasting performance
Abstract: This paper provides novel evidence on exchange rate expectations of both chartists and fundamentalists separately. These groups indeed form expectations differently. Chartists change their expectations more often; however, all professionals' expectations vary considerably as they generally follow strong exchange rate trends. In line with non-linear exchange rate-modeling, professionals expect mean reversion only if exchange rates deviate much from PPP. Chartists survive in FX markets as they forecast equally accurately as fundamentalists. Unexpected from an effcient market viewpoint, chartists even outperform fundamentalists at short horizons. Overall, these findings clearly support the chartist-fundamentalist approach.

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Dick, Christian D. ; Menkhoff, Lukas (2012) Exchange rate expectations of chartists and fundamentalists. Open Access ZEW Discussion Papers Mannheim 12-026 [Working paper]
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