Fundamental and non-fundamental equilibria in the foreign exchange market : a behavioural finance framework

dc.creator	De Grauwe, Paul
dc.creator	Dieci, Roberto
dc.creator	Grimaldi, Marianna
dc.date	2005
dc.date.accessioned	2013-10-16T07:01:23Z
dc.date.available	2013-10-16T07:01:23Z
dc.date.issued	2013-10-16
dc.identifier	http://hdl.handle.net/10419/18795
dc.identifier	ppn:484933175
dc.identifier.uri	http://koha.mediu.edu.my:8181/xmlui/handle/10419/18795
dc.description	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 stochastic environment the model generates a complex dynamics in which bubbles and crashes occur at unpredictable moments. We contrast these ?behavioural? bubbles with ?rational? bubbles.
dc.language	eng
dc.publisher
dc.relation	CESifo working papers 1431
dc.rights	http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject	G10
dc.subject	F41
dc.subject	F31
dc.subject	ddc:330
dc.subject	exchange rate
dc.subject	bounded rationality
dc.subject	heterogeneous agents
dc.subject	bubbles and crashes
dc.subject	complex dynamics
dc.subject	basins of attraction
dc.subject	Wechselkurs
dc.subject	Devisenmarkt
dc.subject	Anlageverhalten
dc.subject	Portfolio-Management
dc.subject	Gleichgewicht
dc.subject	Bubbles
dc.subject	Theorie
dc.title	Fundamental and non-fundamental equilibria in the foreign exchange market : a behavioural finance framework
dc.type	doc-type:workingPaper

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