Title data
Bauer, Christian ; Herz, Bernhard:
Technical trading and the volatility of exchange rates.
In: Quantitative Finance.
Vol. 4
(2004)
Issue 4
.
- pp. 399-415.
ISSN 1469-7696
DOI: https://doi.org/10.1080/14697680400008650
Related URLs
Abstract in another language
The microeconomic structure of foreign exchange markets can cause excessive volatility in flexible exchange rate regimes. The market entry of chartists changes the composition of the foreign exchange market and leads to excessive volatility. Our chartist model predicts a continuum of equilibria and a U-shaped relation between exchange rate volatility and the measured trend, which is supported by the empirical evidence. The data show a positive nonlinear relation between trend and volatility as predicted by the model. In such a situation monetary policy may be able to smooth the exchange rate without changing macroeconomic fundamentals.
Further data
Item Type: | Article in a journal |
---|---|
Refereed: | Yes |
Institutions of the University: | Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance > Chair Economics I - International Economics and Finance - Univ.-Prof. Dr. Bernhard Herz Faculties Faculties > Faculty of Law, Business and Economics Faculties > Faculty of Law, Business and Economics > Department of Economics Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance |
Result of work at the UBT: | Yes |
DDC Subjects: | 300 Social sciences > 330 Economics |
Date Deposited: | 13 Apr 2015 08:49 |
Last Modified: | 11 May 2015 05:53 |
URI: | https://eref.uni-bayreuth.de/id/eprint/10161 |