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Price Expectations in Goods and Financial Markets

Editor

Listed:
  • François Gardes
  • Georges Prat

Abstract

Analysing how price expectations are formed is essential since the dynamics of market prices are mainly driven by the agent’s belief concerning the future values of prices and by the uncertainty characterising these values. This is a difficult task as prices are highly volatile in most markets and expectational behaviour is heterogeneous and unstable. This volume discusses the concept of rationality of expectations from both a theoretical and an empirical point of view, and on individual and collective levels. Concerning the first aspect, the book focuses on how agents collect and process information and how market opinion is formed. Concerning the second aspect, the book presents studies based on individual price expectations and on the ‘consensus’ revealed by survey data. To appreciate the degree of generality of expectational behaviour, the contributors analyse price expectations in a variety of markets, periods and countries. Great attention is paid to financial markets which have represented the main field of analysis of expectations over the last ten years.

Suggested Citation

  • François Gardes & Georges Prat (ed.), 2000. "Price Expectations in Goods and Financial Markets," Books, Edward Elgar Publishing, number 2016.
    • Handle: RePEc:elg:eebook:2016
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    Citations

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    Cited by:

    1. Georges Prat & Remzi Uctum, 2015. "Expectation formation in the foreign exchange market: a time-varying heterogeneity approach using survey data," Applied Economics, Taylor & Francis Journals, vol. 47(34-35), pages 3673-3695, July.
    2. Prat, Georges & Uctum, Remzi, 2011. "Modelling oil price expectations: Evidence from survey data," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 236-247, June.
    3. Georges Prat & Remzi Uctum, 2016. "Do markets learn to rationally expect US interest rates? Evidence from survey data," Post-Print hal-01411824, HAL.
    4. Prat, Georges & Uctum, Remzi, 2013. "Modeling the horizon-dependent ex-ante risk premium in the foreign exchange market: Evidence from survey data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 33-54.
    5. Georges Prat & Remzi Uctum, 2012. "Modeling the horizon-dependent risk premium in the forex market: evidence from survey data," EconomiX Working Papers 2012-29, University of Paris Nanterre, EconomiX.
    6. Georges Prat & Remzi Uctum, 2006. "Economically rational expectations theory: evidence from the WTI oil price survey data," Post-Print halshs-00173113, HAL.
    7. Richard H. Cohen & Carl Bonham, 2007. "Specifying the Forecast Generating Process for Exchange Rate Survey Forecasts," Working Papers 200718, University of Hawaii at Manoa, Department of Economics.
    8. Christian Dreger & Georg Stadtmann, 2008. "What drives heterogeneity in foreign exchange rate expectations: insights from a new survey," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 360-367.
    9. Fredj Jawadi & Georges Prat, 2017. "Equity prices and fundamentals: a DDM–APT mixed approach," Review of Quantitative Finance and Accounting, Springer, vol. 49(3), pages 661-695, October.
    10. Prat, Georges, 2013. "Equity risk premium and time horizon: What do the U.S. secular data say?," Economic Modelling, Elsevier, vol. 34(C), pages 76-88.
    11. Benassy-Quere, Agnes & Larribeau, Sophie & MacDonald, Ronald, 2003. "Models of exchange rate expectations: how much heterogeneity?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 113-136, April.
    12. Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," Working Papers hal-04141877, HAL.
    13. Alain Abou & Georges Prat, 1986. "Ex-ante risk premia in the US stock market: analysing experts' behaviour at the individual level," Post-Print halshs-00172883, HAL.
    14. Georges Prat & David Le Bris, 2019. "Equity Risk Premium and Time Horizon: what do the French secular data say ?," EconomiX Working Papers 2019-8, University of Paris Nanterre, EconomiX.
    15. Georges Prat & Remzi Uctum, 2010. "Anticipations, prime de risque et structure par terme des taux d'intérêt : une analyse des comportements d'experts," Recherches économiques de Louvain, De Boeck Université, vol. 76(2), pages 195-217.
    16. Christian Dreger & Georg Stadtmann, 2006. "What Drives Heterogeneity in Foreign Exchange Rate Expectations: Deep Insights from a New Survey," Discussion Papers of DIW Berlin 624, DIW Berlin, German Institute for Economic Research.
    17. Georges Prat & Remzi Uctum, 2007. "Switching between Expectation Processes in the Foreign Exchange Market: a Probabilistic Approach using Survey Data," Review of International Economics, Wiley Blackwell, vol. 15(4), pages 700-719, September.

    More about this item

    Keywords

    Economics and Finance;

    JEL classification:

    • G0 - Financial Economics - - General

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