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
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
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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
Journal: Journal of Economic Dynamics and Control - Volume 36, Issue 9, September 2012, Pages 1349-1363
نویسندگان
Stefan Reitz, Jan-Christoph Rülke, Georg Stadtmann,