| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6742 |
| DP6742 Determinants of the Block Premium and of Private Benefits of Control | |
| Rui Albuquerque; Enrique Schroth | |
| 发表日期 | 2008-03-14 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | This paper analyzes the sources of the differential beliefs of market participants in the foreign exchange market and their relative role in forming exchange rate expectations. We find that there are distinct periods of high and low dispersion and document that dispersion arises because of a combined effect of market participants holding individual information and attach different weights to some elements of the common information set. In addition to these two effect, we also document evidence of the existence of different types of agents and find that chartist rules are predominantly used at the shorter spectrum of the forecast horizon and fundamentalist rules are predominantly used at the longer spectrum of the forecast horizon. Finally, our evidence suggests that the relationship between market volatility and trader dispersion tends to be significant and positive for different measures of both trader heterogeneity and market volatility. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Exchange rates Expectations Heterogeneity Survey data |
| URL | https://cepr.org/publications/dp6742 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535580 |
| 推荐引用方式 GB/T 7714 | Rui Albuquerque,Enrique Schroth. DP6742 Determinants of the Block Premium and of Private Benefits of Control. 2008. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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