Model Misspecification, Learning and the Exchange Rate Disconnect Puzzle
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Lewis Vivien & Markiewicz Agnieszka, 2009. "Model Misspecification, Learning and the Exchange Rate Disconnect Puzzle," The B.E. Journal of Macroeconomics, De Gruyter, vol. 9(1), pages 1-24, April.
- Vivien Lewis & Agnieszka Markiewicz, 2009. "Model misspecification, learning and the exchange rate disconnect puzzle," Working Paper Research 168, National Bank of Belgium.
References listed on IDEAS
- William Branch & George W. Evans, 2007.
"Model Uncertainty and Endogenous Volatility,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 10(2), pages 207-237, April.
- Wiliam Branch & George W. Evans, 2005. "Model Uncertainty and Endogenous Volatility," University of Oregon Economics Department Working Papers 2005-21, University of Oregon Economics Department, revised 26 Oct 2006.
- George W. Evans & William A. Branch, 2005. "Model Uncertainty and Endogenous Volatility," Computing in Economics and Finance 2005 33, Society for Computational Economics.
- repec:bla:scandj:v:78:y:1976:i:2:p:200-224 is not listed on IDEAS
- Charles Engel & Kenneth D. West, 2005.
"Exchange Rates and Fundamentals,"
Journal of Political Economy, University of Chicago Press, vol. 113(3), pages 485-517, June.
- Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Engel, Charles & West, Kenneth D., 2003. "Exchange rates and fundamentals," Working Paper Series 248, European Central Bank.
- Charles Engel & Kenneth D. West, 2004. "Exchange Rates and Fundamentals," NBER Working Papers 10723, National Bureau of Economic Research, Inc.
- Klaus Adam, 2007.
"Experimental Evidence on the Persistence of Output and Inflation,"
Economic Journal, Royal Economic Society, vol. 117(520), pages 603-636, April.
- Adam, Klaus, 2005. "Experimental Evidence on the Persistence of Output and Inflation," CEPR Discussion Papers 4885, C.E.P.R. Discussion Papers.
- Adam, Klaus, 2005. "Experimental evidence on the persistence of output and inflation," Working Paper Series 492, European Central Bank.
- De Grauwe, Paul & Markiewicz, Agnieszka, 2013.
"Learning to forecast the exchange rate: Two competing approaches,"
Journal of International Money and Finance, Elsevier, vol. 32(C), pages 42-76.
- Paul De Grauwe & Agnieszka Markiewicz, 2006. "Learning to Forecast the Exchange Rate: Two Competing Approaches," CESifo Working Paper Series 1717, CESifo.
- Paul De Grauwe & Agnieszka Markiewicz, 2006. "Learning to Forecast the Exchange Rate: Two Competing Approaches," Computing in Economics and Finance 2006 367, Society for Computational Economics.
- Lubik, Thomas A. & Schorfheide, Frank, 2007.
"Do central banks respond to exchange rate movements? A structural investigation,"
Journal of Monetary Economics, Elsevier, vol. 54(4), pages 1069-1087, May.
- Thomas Lubik & Frank Schorfheide, 2003. "Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation," Economics Working Paper Archive 505, The Johns Hopkins University,Department of Economics.
- Tom Doan, "undated". "RATS program to solve Lubik-Schorfheide JME 2007 DSGE model," Statistical Software Components RTZ00111, Boston College Department of Economics.
- William A. Branch, 2004. "The Theory of Rationally Heterogeneous Expectations: Evidence from Survey Data on Inflation Expectations," Economic Journal, Royal Economic Society, vol. 114(497), pages 592-621, July.
- Orphanides, Athanasios & Williams, John C., 2005.
"The decline of activist stabilization policy: Natural rate misperceptions, learning, and expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 1927-1950, November.
- Athanasios Orphanides & John C. Williams, 2003. "The decline of activist stabilization policy: natural rate misperceptions, learning, and expectations," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Athanasios Orphanides & John C. Williams, 2003. "The decline of activist stabilization policy: natural rate misperceptions, learning, and expectations," Working Paper Series 2003-24, Federal Reserve Bank of San Francisco.
- Orphanides, Athanasios & Williams, John C., 2004. "The decline of activist stabilization policy: Natural rate misperceptions, learning, and expectations," CFS Working Paper Series 2004/24, Center for Financial Studies (CFS).
- Orphanides, Athanasios & Williams, John C., 2004. "The decline of activist stabilization policy: natural rate misperceptions, learning, and expectations," Working Paper Series 337, European Central Bank.
- John C. Williams & Athanasios Orphanides, 2004. "The Decline of Activist Stabilization Policy: Natural Rate Misperceptions, Learning, and Expectations," Computing in Economics and Finance 2004 144, Society for Computational Economics.
- Athanasios Orphanides & John C. Williams, 2004. "The decline of activist stabilization policy: natural rate misperceptions, learning, and expectations," International Finance Discussion Papers 804, Board of Governors of the Federal Reserve System (U.S.).
- Orphanides, Athanasios & Williams, John C, 2005. "The Decline of Activist Stabilization Policy: Natural Rate Misperceptions, Learning and Expectations," CEPR Discussion Papers 4865, C.E.P.R. Discussion Papers.
- Edward Nelson, 2000.
"UK monetary policy 1972-97: a guide using Taylor rules,"
Bank of England working papers
120, Bank of England.
- Nelson, Edward, 2001. "UK Monetary Policy 1972-97: A Guide Using Taylor Rules," CEPR Discussion Papers 2931, C.E.P.R. Discussion Papers.
- Ito, Takatoshi, 1990.
"Foreign Exchange Rate Expectations: Micro Survey Data,"
American Economic Review, American Economic Association, vol. 80(3), pages 434-449, June.
- Takatoshi Ito, 1988. "Foreign Exchange Rate Expectations: Micro Survey Data," NBER Working Papers 2679, National Bureau of Economic Research, Inc.
- William A. Brock & Cars H. Hommes, 1997.
"A Rational Route to Randomness,"
Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
- Brock, W.A. & Hommes, C.H., 1995. "Rational Routes to Randomness," Working papers 9506, Wisconsin Madison - Social Systems.
- Brock, W.A., 1995. "A Rational Route to Randomness," Working papers 9530, Wisconsin Madison - Social Systems.
- William A. Brock & Cars H. Hommes, 1995. "Rational Routes to Randomness," Working Papers 95-03-029, Santa Fe Institute.
- Brock, W.A. & Hommes, C.H., 1996. "A Rational Route to Randomness," Working papers 9530r, Wisconsin Madison - Social Systems.
- Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2016.
"Stock Market Volatility and Learning,"
Journal of Finance, American Finance Association, vol. 71(1), pages 33-82, February.
- Marcet, Albert & Nicolini, Juan Pablo & Adam, Klaus, 2007. "Stock Market Volatility and Learning," CEPR Discussion Papers 6518, C.E.P.R. Discussion Papers.
- Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2015. "Stock Market Volatility and Learning," Working Papers 720, Federal Reserve Bank of Minneapolis.
- Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2011. "Stock Market Volatility and Learning," CEP Discussion Papers dp1077, Centre for Economic Performance, LSE.
- Albert Marcet & Klaus Adam & Juan Pablo Nicolini, 2008. "Stock Market Volatility and Learning," UFAE and IAE Working Papers 732.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Klaus Adam & Albert Marcet & Juan Pablo Nicolini, 2014. "Stock Market Volatility and Learning," Working Papers 336, Barcelona School of Economics.
- Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo, 2008. "Stock market volatility and learning," Working Paper Series 862, European Central Bank.
- Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo, 2011. "Stock market volatility and learning," LSE Research Online Documents on Economics 121739, London School of Economics and Political Science, LSE Library.
- Adam, Klaus & Marcet, Albert & Nicolini, Juan Pablo, 2012. "Stock Market Volatility and Learning," Working Papers 12-06, University of Mannheim, Department of Economics.
- Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia, 2005.
"Empirical exchange rate models of the nineties: Are any fit to survive?,"
Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1150-1175, November.
- Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia Pascual, 2002. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," NBER Working Papers 9393, National Bureau of Economic Research, Inc.
- Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia-Pascual, 2005. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Working Papers 122005, Hong Kong Institute for Monetary Research.
- Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Center for International Economics, Working Paper Series qt5fc508pt, Center for International Economics, UC Santa Cruz.
- Cheung, Yin-Wong & Chinn, Menzie David & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series qt12z9x4c5, Department of Economics, UC Santa Cruz.
- Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series qt5fc508pt, Department of Economics, UC Santa Cruz.
- Yin-Wong Cheung & Antonio I Garcia Pascual & Menzie David Chinn, 2004. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," IMF Working Papers 2004/073, International Monetary Fund.
- Maurice Obstfeld & Kenneth Rogoff, 2001.
"The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?,"
NBER Chapters, in: NBER Macroeconomics Annual 2000, Volume 15, pages 339-412,
National Bureau of Economic Research, Inc.
- Maurice Obstfeld & Kenneth Rogoff & Ben Bernanke & Kenneth Rogoff, "undated". "The Six Major Puzzles in International Macroeconomics: Is there a Common Cause?," Working Paper 32326, Harvard University OpenScholar.
- Maurice Obstfeld & Kenneth Rogoff, 2001. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," International Trade 0012003, University Library of Munich, Germany.
- Maurice Obstfeld & Kenneth Rogoff, 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," NBER Working Papers 7777, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice & Rogoff, Kenneth, 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," Department of Economics, Working Paper Series qt0sx02651, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Maurice Obstfeld and Kenneth Rogoff., 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," Center for International and Development Economics Research (CIDER) Working Papers C00-112, University of California at Berkeley.
- Obstfeld, Maurice & Rogoff, Kenneth, 2000. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," Center for International and Development Economics Research, Working Paper Series qt0sx02651, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
- William A. Brock & Cars H. Hommes, 2001.
"A Rational Route to Randomness,"
Chapters, in: W. D. Dechert (ed.), Growth Theory, Nonlinear Dynamics and Economic Modelling, chapter 16, pages 402-438,
Edward Elgar Publishing.
- William A. Brock & Cars H. Hommes, 1997. "A Rational Route to Randomness," Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
- Brock, W.A. & Hommes, C.H., 1995. "Rational Routes to Randomness," Working papers 9506, Wisconsin Madison - Social Systems.
- William A. Brock & Cars H. Hommes, 1995. "Rational Routes to Randomness," Working Papers 95-03-029, Santa Fe Institute.
- Brock, W.A. & Hommes, C.H., 1996. "A Rational Route to Randomness," Working papers 9530r, Wisconsin Madison - Social Systems.
- Kim, Young Se, 2009. "Exchange rates and fundamentals under adaptive learning," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 843-863, April.
- Mikael Bask, 2007. "Chartism and exchange rate volatility," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(3), pages 301-316.
- Pfajfar, Damjan & Žakelj, Blaž, 2014.
"Experimental evidence on inflation expectation formation,"
Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 147-168.
- Pfajfar, D. & Zakelj, B., 2014. "Experimental evidence on inflation expectation formation," Other publications TiSEM f337739d-e15a-4461-a461-8, Tilburg University, School of Economics and Management.
- Branch, William A. & Evans, George W., 2006.
"A simple recursive forecasting model,"
Economics Letters, Elsevier, vol. 91(2), pages 158-166, May.
- Wiliam Branch & George W. Evans, 2005. "A Simple Recursive Forecasting Model," University of Oregon Economics Department Working Papers 2005-3, University of Oregon Economics Department, revised 01 Feb 2005.
- Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
- Philippe Bacchetta & Eric Van Wincoop, 2004.
"A Scapegoat Model of Exchange-Rate Fluctuations,"
American Economic Review, American Economic Association, vol. 94(2), pages 114-118, May.
- Philippe Bacchetta & Eric van Wincoop, 2004. "A Scapegoat Model of Exchange Rate Fluctuations," Working Papers 04.01, Swiss National Bank, Study Center Gerzensee.
- Philippe BACCHETTA & Eric VAN WINCOOP, 2004. "A Scapegoat Model of Exchange Rate Fluctuations," Cahiers de Recherches Economiques du Département d'économie 04.01, Université de Lausanne, Faculté des HEC, Département d’économie.
- Bacchetta, Philippe & van Wincoop, Eric, 2004. "A Scapegoat Model of Exchange Rate Fluctuations," CEPR Discussion Papers 4268, C.E.P.R. Discussion Papers.
- Philippe Bacchetta & Eric van Wincoop, 2004. "A Scapegoat Model of Exchange Rate Fluctuations," NBER Working Papers 10245, National Bureau of Economic Research, Inc.
- Brock, William A. & Hommes, Cars H., 1998.
"Heterogeneous beliefs and routes to chaos in a simple asset pricing model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
- Brock, W.A. & Hommes, C.H., 1996. "Hetergeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model," Working papers 9621, Wisconsin Madison - Social Systems.
- Branch, William A., 2007. "Sticky information and model uncertainty in survey data on inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 31(1), pages 245-276, January.
- Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
- Paul Mizen (ed.), 2003. "Central Banking, Monetary Theory and Practice," Books, Edward Elgar Publishing, number 2329.
- Cheung, Yin-Wong & Chinn, Menzie David, 2001.
"Currency traders and exchange rate dynamics: a survey of the US market,"
Journal of International Money and Finance, Elsevier, vol. 20(4), pages 439-471, August.
- Yin-Wong Cheung & Menzie D. Chinn, 2000. "Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market," CESifo Working Paper Series 251, CESifo.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Agnieszka Markiewicz, 2010. "Monetary Policy, Model Uncertainty and Exchange Rate Volatility," CESifo Working Paper Series 2949, CESifo.
- Bacchetta, Philippe & van Wincoop, Eric, 2013.
"On the unstable relationship between exchange rates and macroeconomic fundamentals,"
Journal of International Economics, Elsevier, vol. 91(1), pages 18-26.
- Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," Working Papers 272009, Hong Kong Institute for Monetary Research.
- Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," NBER Working Papers 15008, National Bureau of Economic Research, Inc.
- Bacchetta, Philippe & van Wincoop, Eric, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," CEPR Discussion Papers 7309, C.E.P.R. Discussion Papers.
- De Grauwe, Paul & Markiewicz, Agnieszka, 2013.
"Learning to forecast the exchange rate: Two competing approaches,"
Journal of International Money and Finance, Elsevier, vol. 32(C), pages 42-76.
- Paul De Grauwe & Agnieszka Markiewicz, 2006. "Learning to Forecast the Exchange Rate: Two Competing Approaches," CESifo Working Paper Series 1717, CESifo.
- Paul De Grauwe & Agnieszka Markiewicz, 2006. "Learning to Forecast the Exchange Rate: Two Competing Approaches," Computing in Economics and Finance 2006 367, Society for Computational Economics.
- Agnieszka Markiewicz, 2012. "Model Uncertainty And Exchange Rate Volatility," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(3), pages 815-844, August.
- Elias, Christopher J., 2016. "A heterogeneous agent exchange rate model with speculators and non-speculators," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 203-223.
- Philippe Bacchetta & Eric van Wincoop, 2011. "Modeling Exchange Rates with Incomplete Information," Cahiers de Recherches Economiques du Département d'économie 11.03, Université de Lausanne, Faculté des HEC, Département d’économie.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- De Grauwe, Paul & Markiewicz, Agnieszka, 2013.
"Learning to forecast the exchange rate: Two competing approaches,"
Journal of International Money and Finance, Elsevier, vol. 32(C), pages 42-76.
- Paul De Grauwe & Agnieszka Markiewicz, 2006. "Learning to Forecast the Exchange Rate: Two Competing Approaches," CESifo Working Paper Series 1717, CESifo.
- Paul De Grauwe & Agnieszka Markiewicz, 2006. "Learning to Forecast the Exchange Rate: Two Competing Approaches," Computing in Economics and Finance 2006 367, Society for Computational Economics.
- Agnieszka Markiewicz, 2010. "Monetary Policy, Model Uncertainty and Exchange Rate Volatility," CESifo Working Paper Series 2949, CESifo.
- Dick, Christian D. & Menkhoff, Lukas, 2013.
"Exchange rate expectations of chartists and fundamentalists,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1362-1383.
- Dick, Christian D. & Menkhoff, Lukas, 2012. "Exchange rate expectations of chartists and fundamentalists," ZEW Discussion Papers 12-026, ZEW - Leibniz Centre for European Economic Research.
- Christian D. Dick & Lukas Menkhoff, 2013. "Exchange Rate Expectations of Chartists and Fundamentalists," CESifo Working Paper Series 4181, CESifo.
- Evans, George & Honkapohja, Seppo, 2011.
"Learning as a rational foundation for macroeconomics and finance,"
Bank of Finland Research Discussion Papers
8/2011, Bank of Finland.
- Honkapohja, Seppo & Evans, George W., 2011. "Learning as a Rational Foundation for Macroeconomics and Finance," CEPR Discussion Papers 8340, C.E.P.R. Discussion Papers.
- Mikael Bask & Jarko Fidrmuc, 2009.
"Fundamentals and Technical Trading: Behavior of Exchange Rates in the CEECs,"
Open Economies Review, Springer, vol. 20(5), pages 589-605, November.
- Bask, Mikael & Fidrmuc, Jarko, 2006. "Fundamentals and technical trading: behaviour of exchange rates in the CEECs," Bank of Finland Research Discussion Papers 10/2006, Bank of Finland.
- de Zwart, Gerben & Markwat, Thijs & Swinkels, Laurens & van Dijk, Dick, 2009.
"The economic value of fundamental and technical information in emerging currency markets,"
Journal of International Money and Finance, Elsevier, vol. 28(4), pages 581-604, June.
- de Zwart, G.J. & Markwat, T.D. & Swinkels, L.A.P. & van Dijk, D.J.C., 2007. "The Economic Value of Fundamental and Technical Information in Emerging Currency Markets," ERIM Report Series Research in Management ERS-2007-096-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Hommes, Cars, 2018. "Behavioral & experimental macroeconomics and policy analysis: a complex systems approach," Working Paper Series 2201, European Central Bank.
- Jongen, Ron & Verschoor, Willem F.C. & Wolff, Christian C.P. & Zwinkels, Remco C.J., 2012. "Explaining dispersion in foreign exchange expectations: A heterogeneous agent approach," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 719-735.
- Gerunov, Anton, 2014. "Критичен Преглед На Основните Подходи За Моделиране На Икономическите Очаквания [A Critical Review of Major Approaches for Modeling Economic Expectations]," MPRA Paper 68797, University Library of Munich, Germany.
- Hommes, Cars H., 2006.
"Heterogeneous Agent Models in Economics and Finance,"
Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186,
Elsevier.
- Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
- Hommes, Cars, 2011.
"The heterogeneous expectations hypothesis: Some evidence from the lab,"
Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 1-24, January.
- Hommes, C.H., 2010. "The Heterogeneous Expectations Hypothesis: Some Evidence from the Lab," CeNDEF Working Papers 10-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Cars Hommes, 2010. "The heterogeneous expectations hypothesis: some evidence from the lab," Post-Print hal-00753041, HAL.
- Pfajfar, Damjan, 2013.
"Formation of rationally heterogeneous expectations,"
Journal of Economic Dynamics and Control, Elsevier, vol. 37(8), pages 1434-1452.
- Pfajfar, D., 2012. "Formation of Rationally Heterogeneous Expectations," Discussion Paper 2012-083, Tilburg University, Center for Economic Research.
- Pfajfar, D., 2012. "Formation of Rationally Heterogeneous Expectations," Other publications TiSEM f256da5c-c711-49c8-bd12-9, Tilburg University, School of Economics and Management.
- Cars Hommes & Florian Wagener, 2008.
"Complex Evolutionary Systems in Behavioral Finance,"
Tinbergen Institute Discussion Papers
08-054/1, Tinbergen Institute.
- Hommes, C.H. & Wagener, F.O.O., 2008. "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers 08-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Agnieszka Markiewicz, 2012. "Model Uncertainty And Exchange Rate Volatility," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 53(3), pages 815-844, August.
- Tiziana Assenza & William A. Brock & Cars H. Hommes, 2017.
"Animal Spirits, Heterogeneous Expectations, And The Amplification And Duration Of Crises,"
Economic Inquiry, Western Economic Association International, vol. 55(1), pages 542-564, January.
- Assenza, T. & Brock, W.A. & Hommes, C.H., 2012. "Animal Spirits, Heterogeneous Expectations and the Amplification and Duration of Crises," CeNDEF Working Papers 12-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Bao, Te & Hommes, Cars & Sonnemans, Joep & Tuinstra, Jan, 2012.
"Individual expectations, limited rationality and aggregate outcomes,"
Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1101-1120.
- Bao, T. & Hommes, C.H. & Sonnemans, J. & Tuinstra, J., 2010. "Individual Expectations, Limited Rationality and Aggregate Outcomes," CeNDEF Working Papers 10-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Te Bao & Cars Hommes & Joep Sonnemans & Jan Tuinstra, 2012. "Individual Expectations, Limited Rationality and Aggregate Outcomes," Tinbergen Institute Discussion Papers 12-016/1, Tinbergen Institute.
- ter Ellen, Saskia & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2013. "Dynamic expectation formation in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 75-97.
- Mikael Bask, 2008.
"Adaptive Learning in an Expectational Difference Equation with Several Lags: Selecting among Learnable REE,"
European Financial Management, European Financial Management Association, vol. 14(1), pages 99-117, January.
- Bask, Mikael, 2006. "Adaptive learning in an expectational difference equation with several lags: selecting among learnable REE," Bank of Finland Research Discussion Papers 7/2006, Bank of Finland.
- Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
More about this item
Keywords
exchange rate; disconnect; misspecification; learning;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBA-2009-04-05 (Central Banking)
- NEP-IFN-2009-04-05 (International Finance)
- NEP-MST-2009-04-05 (Market Microstructure)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rug:rugwps:09/563. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Nathalie Verhaeghe (email available below). General contact details of provider: https://edirc.repec.org/data/ferugbe.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.