Expectations in financial markets: a survey data approach
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Frankfurt am Main [u.a.]
Lang
2009
|
| Series: | Studien zu internationalen Wirtschaftsbeziehungen
14 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Klappentext |
| Physical Description: | 142 S. graph. Darst. |
| ISBN: | 9783631585603 |
Staff View
MARC
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Record in the Search Index
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|---|---|
| adam_text | Contents
1
Introduction
.............................................. 19
2
Two currencies, one model?
-
Evidence from the Wall Street
Journal forecast poll
...................................... 25
2.1
Introduction
............................ 25
2.2
The WSJ data set
......................... 26
2.3
Tests for rationality of expectations
............... 28
2.4
Examination of the expectation formation process
....... 31
2.5
Actual exchange rate dynamics versus expectation formation
process
............................... 35
2.6
Conclusions
............................ 37
3
Twisting the Dollar?
-
On the consistency of short-term and
long-term exchange rate expectations
..................... 39
3.1
Introduction
............................ 39
3.2
The WSJ data set
......................... 40
3.3
Consistency restrictions for extrapolative expectations with
one lag
............................... 41
3.4
Consistency restrictions for extrapolative expectations with
two lags
.............................. 50
3.5
Twist and exchange rate volatility
................ 52
3.6
Conclusion
............................. 58
4
The coordination channel of foreign exchange intervention:
The Australian case
....................................... 59
4.1
Introduction
............................ 59
4.2
The intervention policy and practice of the Reserve Bank of
Australia
.............................. 61
4.3
A microstructural
model of the coordination channel of inter¬
vention effectiveness
....................... 65
4.4
The empirical model
....................... 69
10 CONTENTS
4.5
The data
..............................70
4.6
Estimation results
.........................72
4.7
Conclusion
.............................75
5
Ex-Ante Taylor rules
-
Evidence from the G7 countries
... 77
5.1
Introduction
............................ 77
5.2
The morphology of Taylor-type rules
.............. 78
5.3
Survey studies and data
..................... 80
5.4
Estimation results
......................... 84
5.5
Expectations on the Taylor rule prior to the Taylor rule literature
90
5.6
Conclusion
............................. 94
6
Does Inflation Targeting matter?
-
Evidence from the expec¬
tation formation process in emerging markets
............. 95
6.1
Introduction
............................95
6.2
The theoretical and empirical morphology of Taylor-type rules
97
6.3
The data set
............................101
6.4
Estimation results
.........................103
6.5
The role of time-varying inflation targets and credibility
. . · 113
6.6
Conclusion
.............................121
7
Conclusion and policy implications
........................123
Bibliography
.................................................127
Appendix A: Derivation of consistency restrictions for a dis¬
tributed lag function with one lag
.........................140
Appendix B: Derivation of consistency restrictions for a dis¬
tributed lag function with two lags
........................141
Appendix C: Calculation of the weighted average of expected
GDP and
CPI
............................................142
Knowing how expectations are formed in the financial markets is crucial to un¬
derstanding how financial markets work. Although the market price itself reflects
to some extent expectations, market expectations cannot be observed directly.
Nonetheless, different strategies remain to investigate expectations in finan¬
cial markets in more detail. This book uses survey data which allow a detailed
analysis of market s expectations since it provides information of expectations
of individual economic agents. This book focuses on the two major financial
markets in terms of trading volume, namely the foreign exchange market and the
money market. Since these markets can be regarded as highly liquid and market
participants have equal access to information both markets can be regarded as
appropriate candidates to investigate the expectation formation process.
|
| any_adam_object | 1 |
| author | Ruelke, Jan-Christoph 1978- |
| author_GND | (DE-588)1016803729 |
| author_facet | Ruelke, Jan-Christoph 1978- |
| author_role | aut |
| author_sort | Ruelke, Jan-Christoph 1978- |
| author_variant | j c r jcr |
| building | Verbundindex |
| bvnumber | BV035737499 |
| classification_rvk | QK 600 |
| ctrlnum | (OCoLC)432990862 (DE-599)DNB994723911 |
| dewey-full | 332.45 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.45 |
| dewey-search | 332.45 |
| dewey-sort | 3332.45 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| genre_facet | Hochschulschrift |
| id | DE-604.BV035737499 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:53:21Z |
| institution | BVB |
| isbn | 9783631585603 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018013966 |
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| owner_facet | DE-355 DE-BY-UBR DE-739 |
| physical | 142 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
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| publisher | Lang |
| record_format | marc |
| series | Studien zu internationalen Wirtschaftsbeziehungen |
| series2 | Studien zu internationalen Wirtschaftsbeziehungen |
| spelling | Ruelke, Jan-Christoph 1978- Verfasser (DE-588)1016803729 aut Expectations in financial markets a survey data approach Jan-Christoph Rülke Frankfurt am Main [u.a.] Lang 2009 142 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Studien zu internationalen Wirtschaftsbeziehungen 14 Zugl.: Vallendar, Wiss. Hochsch. für Unternehmensführung, Diss., 2008 Handelsvolumen (DE-588)4377483-0 gnd rswk-swf Erwartung (DE-588)4015434-8 gnd rswk-swf Geldmarkt (DE-588)4019899-6 gnd rswk-swf Devisenmarkt (DE-588)4139011-8 gnd rswk-swf Umsatz (DE-588)4186786-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Devisenmarkt (DE-588)4139011-8 s Handelsvolumen (DE-588)4377483-0 s Umsatz (DE-588)4186786-5 s Erwartung (DE-588)4015434-8 s DE-604 Geldmarkt (DE-588)4019899-6 s Studien zu internationalen Wirtschaftsbeziehungen 14 (DE-604)BV014252401 14 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018013966&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018013966&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Ruelke, Jan-Christoph 1978- Expectations in financial markets a survey data approach Studien zu internationalen Wirtschaftsbeziehungen Handelsvolumen (DE-588)4377483-0 gnd Erwartung (DE-588)4015434-8 gnd Geldmarkt (DE-588)4019899-6 gnd Devisenmarkt (DE-588)4139011-8 gnd Umsatz (DE-588)4186786-5 gnd |
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| title | Expectations in financial markets a survey data approach |
| title_auth | Expectations in financial markets a survey data approach |
| title_exact_search | Expectations in financial markets a survey data approach |
| title_full | Expectations in financial markets a survey data approach Jan-Christoph Rülke |
| title_fullStr | Expectations in financial markets a survey data approach Jan-Christoph Rülke |
| title_full_unstemmed | Expectations in financial markets a survey data approach Jan-Christoph Rülke |
| title_short | Expectations in financial markets |
| title_sort | expectations in financial markets a survey data approach |
| title_sub | a survey data approach |
| topic | Handelsvolumen (DE-588)4377483-0 gnd Erwartung (DE-588)4015434-8 gnd Geldmarkt (DE-588)4019899-6 gnd Devisenmarkt (DE-588)4139011-8 gnd Umsatz (DE-588)4186786-5 gnd |
| topic_facet | Handelsvolumen Erwartung Geldmarkt Devisenmarkt Umsatz Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018013966&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018013966&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV014252401 |
| work_keys_str_mv | AT ruelkejanchristoph expectationsinfinancialmarketsasurveydataapproach |