Showing 1 - 10 of 127
The financial crises of the 1990s have created the perception that one of the fundamental reasons for the occurrence of such crises is to be found in the fact that exchange rates were pegged for too long. These pegged exchange rates inevitably invited speculative attacks in the foreign exchange...
Persistent link: https://www.econbiz.de/10010273325
The rational expectations efficient market model of the exchange rate has failed empirically. In this paper we develop a model of the exchange rate in which agents use simple forecasting rules. Based on an ex post evaluation of the relative profitability of these rules they decide whether to...
Persistent link: https://www.econbiz.de/10010321251
We develop a simple model of the exchange rate in which agents optimize their portfolio and use different forecasting rules. They check the profitability of these rules ex post and select the more profitable one. This model produces two kinds of equilibria, a fundamental and a bubble one. In a...
Persistent link: https://www.econbiz.de/10010321349
We develop a simple model of the exchange rate in which agents optimize their portfolio and use different forecasting rules. They check the profitability of these rules ex post and select the more profitable one. This model produces two kinds of equilibria, a fundamental and a bubble one. In a...
Persistent link: https://www.econbiz.de/10010261158
In this paper we develop a model of the exchange rate. The existence of transactions costs introduces an important non-linearity. Agents have different beliefs about the future exchange rate. We show that this simple model creates great complexity in the market which is characterised by the fact...
Persistent link: https://www.econbiz.de/10010315469
We analyse the workings of a simple non-linear exchange rate model in which agents hold different beliefs about the underlying model. We distinguish between chartists' and fundamentalists'. The non-linearities in the model originate from transactions costs and from the existence of non-linear...
Persistent link: https://www.econbiz.de/10010315472
We develop a simple model of the foreign exchange market in which agents optimize their portfolio and use different forecasting rules. They check the profitability of these rules ex post and select the more profitable one.This model produces two kinds of equilibria, a fundamental and a bubble...
Persistent link: https://www.econbiz.de/10010315849
We develop a simple model of the exchange rate in which agents optimize their portfolio and use different forecasting rules. They check the profitability of these rules ex post and select the more profitable one. This model produces two kinds of equilibria, a fundamental and a bubble one. In a...
Persistent link: https://www.econbiz.de/10010315936
Persistent link: https://www.econbiz.de/10013369963
Though unconventional monetary policy is still new, already there is a conventional wisdom that the impact of monetary policy is related to the composition of the asset mix. This turns out to be incomplete and potentially misleading. In this paper, we find more complex effects on bank lending...
Persistent link: https://www.econbiz.de/10014563895