Journal article

Publication year: 2005

Pages: 65-82

Journal: Journal of Evolutionary Economics

Volume number: 15

Issue number: 1

ISSN: 0936-9937

eISSN: 1432-1386

DOI Link: https://doi.org/10.1007/s00191-004-0206-z

Publisher: Springer

Abstract: 
In this study a regime-switching approach is applied to estimate the chartist and fundamentalist (cIf) exchange rate model originally proposed by Frankel and Froot (1986). The cIf 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. Our findings turned out to be relatively robust when assessing the models' sub-sample estimates and out-of-sample performance.

Harvard Citation style: Ahrens, R. and Reitz, S. (2005) Heterogeneous expectations in the foreign exchange market - Evidence from daily DM/US Dollar exchange rates, Journal of Evolutionary Economics, 15(1), pp. 65-82. https://doi.org/10.1007/s00191-004-0206-z

APA Citation style: Ahrens, R., & Reitz, S. (2005). Heterogeneous expectations in the foreign exchange market - Evidence from daily DM/US Dollar exchange rates. Journal of Evolutionary Economics. 15(1), 65-82. https://doi.org/10.1007/s00191-004-0206-z