TY  - UNPD
A1  - Ahrens, Ralf
A1  - Reitz, Stefan
T1  - Heterogeneous expectations in the foreign exchange market : evidence from the daily Dollar/DM exchange rate
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,11
N2  - In this study a regime switching approach is applied to estimate the chartist and fundamentalist (c&f) exchange rate model originally proposed by Frankel and Froot (1986). The c&f model is tested against alternative regime switching specifications applying likelihood ratio tests. Nested atheoretical models like the popular segmented trends model suggested by Engel and Hamilton (1990) are rejected in favour of the multi agent model. Moreover, the c&f regime switching model seems to describe the data much better than a competing regime switching GARCH(1,1) model. Finally, our findings turned out to be relatively robust when estimating the model in subsamples. The empirical results suggest that the model is able to explain daily DM/Dollar forward exchange rate dynamics from 1982 to 1998.
T3  - CFS working paper series - 2003, 11 
KW  - exchange rates
KW  - multi agent models
KW  - regime-switching
Y1  - 2003
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4476
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10176
UR  - https://www.ifk-cfs.de/395.html
IS  - Version March 2003
ER  -