Dispersion of Beliefs and Market Volatility in the Foreign Exchange Market
نویسندگان
چکیده
منابع مشابه
Dispersion of Beliefs and Market Volatility in the Foreign Exchange Market
This paper examines the existence of heterogeneous expectations among market participants in the foreign exchange market by using a data set of individual market expectations for the major currencies, and approaches the formation of expectations from a bounded-rationality approach. We find that that there are distinct periods of high and low dispersion in which market participants disagree as t...
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The adverse effect of currency volatility on international trade has prompted the inception of the European Monetary System (EMS) and other measures of international policy coordination aimed at reducing intracurrency variability. Until "Black Wednesday" in September 1992 the EMS had some sucess in this objective, but following pressure on the Italian Lira, other ERM currencies (viz. Sterling, ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.889024