کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5098990 1376975 2012 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Nonlinear expectations in speculative markets - Evidence from the ECB survey of professional forecasters
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
Nonlinear expectations in speculative markets - Evidence from the ECB survey of professional forecasters
چکیده انگلیسی
Chartist and fundamentalist models have proven to be capable of replicating stylized facts on speculative markets. In general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective trader groups. This paper investigates whether or not regressive and extrapolative expectations themselves exhibit significant nonlinear dynamics. The empirical results are based on a new data set from the European Central Bank Survey of Professional Forecasters on oil price expectations. In particular, we find that forecasters form destabilizing expectations in the neighborhood of the fundamental value, whereas expectations tend to be stabilizing in the presence of substantial oil price misalignment.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 36, Issue 9, September 2012, Pages 1349-1363
نویسندگان
, , ,