TY  - UNPD
A1  - Reitz, Stefan
A1  - Westerhoff, Frank
T1  - Nonlinearities and cyclical behavior: the role of chartists and fundamentalists
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2003,10
N2  - We develop a behavioral exchange rate model with chartists and fundamentalists to study cyclical behavior in foreign exchange markets. Within our model, the market impact of fundamentalists depends on the strength of their belief in fundamental analysis. Estimation of a STAR GARCH model shows that the more the exchange rate deviates from its fundamental value, the more fundamentalists leave the market. In contrast to previous findings, our paper indicates that due to the nonlinear presence of fundamentalists, market stability decreases with increasing misalignments. A stabilization policy such as central bank interventions may help to deflate bubbles.
T3  - CFS working paper series - 2003, 10 
KW  - nonlinearities
KW  - technical and fundamental trading
KW  - STAR GARCH
KW  - GARCH-Prozess
KW  - Devisenmarkt
KW  - Wechselkurs
Y1  - 2003
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/4475
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-10164
ER  -