Purpose - This paper aims to increase understanding of the (time-varying) relationship between exchange rates and stock prices at the individual firm level. Rather than analyzing the impact of exchange rate movements on firm value by regressing multinationals’ stock returns on exchange rate...

This article examines whether there exists any relationship between individual U.S. multinationals' stock returns and fluctuations in Latin American exchange rates. By using a disaggregated dataset of weekly stock returns and real exchange rate movements, it appears that the apparent lack of...

This paper extends the limited work on interest rate expectations to a previously unexploited data set that covers a broad range of EMS and non-EMS foreign currency deposits. We corroborate the earlier finding in the literature that interest rate forecasts are not rational and that agents do not...

This paper combines survey forecasts with a heterogeneous agent model to examine the dispersion of expectations of participants in the foreign exchange market. We find distinct variations in the level of dispersion and document that dispersion arises because of the combined effect of market...

This paper investigates the time-varying nature of expectation formation rules for institutional investors in the foreign exchange market. Using a dataset of survey expectations for four exchange rates, we first distinguish three different general rules. We find a momentum rule, a fundamental...

In this paper, we propose an empirical model based on the heterogeneous agents literature. Price changes are induced by fundamental, technical, and international factors. The model is estimated for Hong Kong and Thailand surrounding the Asian crisis. We find that the three sources are relevant...