کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5085367 | 1477951 | 2008 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An empirical investigation of investor expectations in the currency market
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
Using a new theoretical model of investor expectations in the foreign exchange market, this research finds investor forecasts to be rational. For instance, expectations are not characterized by fat-tailed distributions that might reflect optimistic bubbles and panic. They are also found to rationally predict a correlation between exchange rates and political factors such as modeled “pain” indexes and currency bands. Most importantly, the model detects an ex-ante investor prediction of a small probability of a large currency change that empirically explains ex-post forecasting biases.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 17, Issue 1, 2008, Pages 108-133
Journal: International Review of Financial Analysis - Volume 17, Issue 1, 2008, Pages 108-133
نویسندگان
Austin Murphy,