Please use this identifier to cite or link to this item:
http://dspace.mediu.edu.my:8181/xmlui/handle/10419/18517| Title: | What Drives Heterogeneity in Foreign Exchange Rate Expectations: Deep Insights from a New Survey |
| Keywords: | F37 F31 C23 ddc:330 Exchange rate expectations heterogeneity of expectations expected fundamentals |
| Issue Date: | 16-Oct-2013 |
| Publisher: | Deutsches Institut für Wirtschaftsforschung (DIW) Berlin |
| Description: | Foreign exchange rate expectations play a central role in virtually all monetary models for the open economy. Therefore, it is extremely important to gain empirical insights into the expectations formation process. In this paper, we use a unique disaggregated data set to model the expectations of the Yen/USD exchange rate of about 50 leading foreign exchange rate professionals. The survey includes not only forecasts of the exchange rate, but also for macroeconomic fundamentals, like GDP growth, inflation, and interest rates. Different expectations of fundamentals might lead to different views of exchange rate dynamics. Using panel models, we are able to confirm the heterogeneity of exchange rate expectations often detected by former authors. More important, we provide strong evidence regarding the likely source of heterogeneity. In line with forward looking models for the exchange rate, expected fundamentals have a substantial impact on exchange rate expectations, thereby challenging the backward looking evidence of previous studies. However, the heterogeneity in the expectations of macroeconomic fundamentals is not sufficient to explain the heterogeneity in exchange rate expectations. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/18517 |
| Other Identifiers: | http://hdl.handle.net/10419/18517 ppn:518575284 |
| Appears in Collections: | EconStor |
Files in This Item:
There are no files associated with this item.
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.