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Georg Stadtmann - One of the best experts on this subject based on the ideXlab platform.
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Twisting the Dollar? On the Consistency of Short‐Run and Long‐Run Exchange Rate Expectations
Journal of Forecasting, 2011Co-Authors: Michael Frenkel, Jan-christoph Rülke, Georg StadtmannAbstract:We examine consistency properties of the exchange rate Expectation Formation process of short-run and long-run forecasts in the dollar/euro and yen/dollar market. Applying nonlinear consistency restrictions we show that in a simple Expectation Formation structure short-run forecasts are indeed inconsistent with long-run predictions. Moreover, we establish a ‘twist’ in the dollar/euro Expectation Formation process, i.e. market participants expect bandwagon effects in the short run, while they have stabilizing Expectations in their long-run forecasts. Applying a panel probit analysis we find that this twisting behavior is more likely to occur in periods of excess exchange rate volatility. Copyright © 2011 John Wiley & Sons, Ltd.
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Expectations on the yen dollar exchange rate evidence from the wall street journal forecast poll
Journal of The Japanese and International Economies, 2010Co-Authors: Jan Christoph Ruelke, Michael Frenkel, Georg StadtmannAbstract:We use the foreign exchange forecasts of the Wall Street Journal poll to analyze forecasters' Expectation Formation process for the yen against the US dollar for the period 1989-2007. We also contrast the Expectation Formation process with the actual exchange rate process. We find that most forecasters have contrarian and stabilizing exchange rate Expectations. Our results also indicate significant heterogeneity between forecasters. However, forecasters on average underestimate the degree of contrarian and stabilizing behavior.
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Expectations on the Yen/Dollar Exchange Rate – Evidence from the Wall Street Journal Forecast Poll
Journal of the Japanese and International Economies, 2010Co-Authors: Jan Christoph Ruelke, Michael Frenkel, Georg StadtmannAbstract:We use the foreign exchange forecasts of the Wall Street Journal poll to analyze forecasters' Expectation Formation process for the yen against the US dollar for the period 1989-2007. We also contrast the Expectation Formation process with the actual exchange rate process. We find that most forecasters have contrarian and stabilizing exchange rate Expectations. Our results also indicate significant heterogeneity between forecasters. However, forecasters on average underestimate the degree of contrarian and stabilizing behavior.
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Two currencies, one model? Evidence from the Wall Street Journal forecast poll
Journal of International Financial Markets Institutions and Money, 2009Co-Authors: Michael Frenkel, Jan-christoph Rülke, Georg StadtmannAbstract:We use the foreign exchange forecasts of the Wall Street Journal (WSJ) poll to analyze the Expectation Formation process of forecasters for the exchange rates of the euro and the yen vis-a-vis the U.S. dollar for the period 1999-2005. We also compare the Expectation Formation process with the actual exchange rate process. We find that most forecasters have contrarian exchange rate Expectations, but our results also indicate significant heterogeneity between forecasters. While the actual exchange rate process of the yen/dollar exchange rate shows negative autocorrelation, the dollar/euro exchange rate exhibits positive autocorrelation.
Michael Frenkel - One of the best experts on this subject based on the ideXlab platform.
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Forecaster Rationality and Expectation Formation in Foreign Exchange Markets: Do Emerging Markets Differ from Industrialized Economies?
International Economic Journal, 2019Co-Authors: Michael Frenkel, Matthias Mauch, Jan-christoph RülkeAbstract:This paper uses the Consensus Economic Forecast poll to investigate how forecasters in the foreign exchange market form Expectations. In order to explain the Expectation Formation of forecasters, around 50,000 forecasts for 22 OECD-member currencies are analyzed. The results indicate that forecasters do not form Expectations rationally when tested for unbiasedness and orthogonality. The results also suggest that forecasts for industrialized economies show a mix of trend-following and fundamentally-oriented behavior. By contrast, forecasts for emerging markets show significantly more destabilizing Expectations. We find forecasting tendencies to strengthen in the short-run and medium-run when controlling for the Balassa-Samuelson effect. For long-run forecasts however this can not be confirmed.
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Twisting the Dollar? On the Consistency of Short‐Run and Long‐Run Exchange Rate Expectations
Journal of Forecasting, 2011Co-Authors: Michael Frenkel, Jan-christoph Rülke, Georg StadtmannAbstract:We examine consistency properties of the exchange rate Expectation Formation process of short-run and long-run forecasts in the dollar/euro and yen/dollar market. Applying nonlinear consistency restrictions we show that in a simple Expectation Formation structure short-run forecasts are indeed inconsistent with long-run predictions. Moreover, we establish a ‘twist’ in the dollar/euro Expectation Formation process, i.e. market participants expect bandwagon effects in the short run, while they have stabilizing Expectations in their long-run forecasts. Applying a panel probit analysis we find that this twisting behavior is more likely to occur in periods of excess exchange rate volatility. Copyright © 2011 John Wiley & Sons, Ltd.
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Has the economic crisis of 2007-2009 changed the Expectation Formation process in the Euro area?
Economic Modelling, 2011Co-Authors: Michael Frenkel, Eliza M. Lis, Jan-christoph RülkeAbstract:We use the ECB's Survey of Professional Forecaster to show that euro area Expectations are consistent with standard macroeconomic building blocks such as the Phillips curve, Okun's law, and the Taylor rule. Moreover, the paper finds that the financial and economic crisis of 2007-2009 did not change the Expectation Formation process as professional forecasters still adopt macroeconomic building blocks for their forecast. The skepticism that has recently been raised concerning macroeconomic building blocks has apparently not yet affected professional forecasts. On the contrary, we conclude that professional forecasters still have faith in macroeconomic building blocks.
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Expectations on the yen dollar exchange rate evidence from the wall street journal forecast poll
Journal of The Japanese and International Economies, 2010Co-Authors: Jan Christoph Ruelke, Michael Frenkel, Georg StadtmannAbstract:We use the foreign exchange forecasts of the Wall Street Journal poll to analyze forecasters' Expectation Formation process for the yen against the US dollar for the period 1989-2007. We also contrast the Expectation Formation process with the actual exchange rate process. We find that most forecasters have contrarian and stabilizing exchange rate Expectations. Our results also indicate significant heterogeneity between forecasters. However, forecasters on average underestimate the degree of contrarian and stabilizing behavior.
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Expectations on the Yen/Dollar Exchange Rate – Evidence from the Wall Street Journal Forecast Poll
Journal of the Japanese and International Economies, 2010Co-Authors: Jan Christoph Ruelke, Michael Frenkel, Georg StadtmannAbstract:We use the foreign exchange forecasts of the Wall Street Journal poll to analyze forecasters' Expectation Formation process for the yen against the US dollar for the period 1989-2007. We also contrast the Expectation Formation process with the actual exchange rate process. We find that most forecasters have contrarian and stabilizing exchange rate Expectations. Our results also indicate significant heterogeneity between forecasters. However, forecasters on average underestimate the degree of contrarian and stabilizing behavior.
Jan Christoph Ruelke - One of the best experts on this subject based on the ideXlab platform.
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Nonlinear Expectation Formation in the U.S. stock market: Empirical evidence from the Livingston survey
2015Co-Authors: Christian Pierdzioch, Stefan Reitz, Jan Christoph RuelkeAbstract:We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the Expectation-Formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative Expectations fluctuates over time as market conditions summarized by stock-market misalignments and recent returns change. We find that survey participants form stabilizing Expectations in the long run. Short-run Expectations, in contrast, are consistent with weak mean reversion of stock prices.
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Heterogeneous Forecasters and Nonlinear Expectation Formation in the U.S. Stock Market
2014Co-Authors: Christian Pierdzioch, Stefan Reitz, Jan Christoph RuelkeAbstract:We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the Expectation-Formation process in the U.S. stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative Expectations fluctuates over time as market conditions summarized by stock-market misalignments and recent returns change. We find that survey participants form stabilizing Expectations in the long run. Short-run Expectations, in contrast, are consistent with weak mean reversion of stock prices.
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Expectations on the yen dollar exchange rate evidence from the wall street journal forecast poll
Journal of The Japanese and International Economies, 2010Co-Authors: Jan Christoph Ruelke, Michael Frenkel, Georg StadtmannAbstract:We use the foreign exchange forecasts of the Wall Street Journal poll to analyze forecasters' Expectation Formation process for the yen against the US dollar for the period 1989-2007. We also contrast the Expectation Formation process with the actual exchange rate process. We find that most forecasters have contrarian and stabilizing exchange rate Expectations. Our results also indicate significant heterogeneity between forecasters. However, forecasters on average underestimate the degree of contrarian and stabilizing behavior.
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Expectations on the Yen/Dollar Exchange Rate – Evidence from the Wall Street Journal Forecast Poll
Journal of the Japanese and International Economies, 2010Co-Authors: Jan Christoph Ruelke, Michael Frenkel, Georg StadtmannAbstract:We use the foreign exchange forecasts of the Wall Street Journal poll to analyze forecasters' Expectation Formation process for the yen against the US dollar for the period 1989-2007. We also contrast the Expectation Formation process with the actual exchange rate process. We find that most forecasters have contrarian and stabilizing exchange rate Expectations. Our results also indicate significant heterogeneity between forecasters. However, forecasters on average underestimate the degree of contrarian and stabilizing behavior.
Jan-christoph Rülke - One of the best experts on this subject based on the ideXlab platform.
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Forecaster Rationality and Expectation Formation in Foreign Exchange Markets: Do Emerging Markets Differ from Industrialized Economies?
International Economic Journal, 2019Co-Authors: Michael Frenkel, Matthias Mauch, Jan-christoph RülkeAbstract:This paper uses the Consensus Economic Forecast poll to investigate how forecasters in the foreign exchange market form Expectations. In order to explain the Expectation Formation of forecasters, around 50,000 forecasts for 22 OECD-member currencies are analyzed. The results indicate that forecasters do not form Expectations rationally when tested for unbiasedness and orthogonality. The results also suggest that forecasts for industrialized economies show a mix of trend-following and fundamentally-oriented behavior. By contrast, forecasts for emerging markets show significantly more destabilizing Expectations. We find forecasting tendencies to strengthen in the short-run and medium-run when controlling for the Balassa-Samuelson effect. For long-run forecasts however this can not be confirmed.
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Nonlinear Expectation Formation in the U.S. Stock Market
2015Co-Authors: Stefan Reitz, Christian Pierdzioch, Jan-christoph RülkeAbstract:This research applies data from the Livingston survey to study the time variation in the sentiment of U.S. stock-market forecasters. A Panel Smooth Transition Regression (STR) model is estimated to identify the importance of market conditions summarized by stock-market misalignments and recent returns for the Formation of regressive and extrapolative Expectations. We find that survey participants expect little mean reversion in times of large misalignments reflecting the observed substantial and persistent swings in stock prices. Recent returns are negatively extrapolated depending on the sign and the size of the return revealing a contrarian behavior of forecasters in the presence of market exuberance.
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Twisting the Dollar? On the Consistency of Short‐Run and Long‐Run Exchange Rate Expectations
Journal of Forecasting, 2011Co-Authors: Michael Frenkel, Jan-christoph Rülke, Georg StadtmannAbstract:We examine consistency properties of the exchange rate Expectation Formation process of short-run and long-run forecasts in the dollar/euro and yen/dollar market. Applying nonlinear consistency restrictions we show that in a simple Expectation Formation structure short-run forecasts are indeed inconsistent with long-run predictions. Moreover, we establish a ‘twist’ in the dollar/euro Expectation Formation process, i.e. market participants expect bandwagon effects in the short run, while they have stabilizing Expectations in their long-run forecasts. Applying a panel probit analysis we find that this twisting behavior is more likely to occur in periods of excess exchange rate volatility. Copyright © 2011 John Wiley & Sons, Ltd.
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Has the economic crisis of 2007-2009 changed the Expectation Formation process in the Euro area?
Economic Modelling, 2011Co-Authors: Michael Frenkel, Eliza M. Lis, Jan-christoph RülkeAbstract:We use the ECB's Survey of Professional Forecaster to show that euro area Expectations are consistent with standard macroeconomic building blocks such as the Phillips curve, Okun's law, and the Taylor rule. Moreover, the paper finds that the financial and economic crisis of 2007-2009 did not change the Expectation Formation process as professional forecasters still adopt macroeconomic building blocks for their forecast. The skepticism that has recently been raised concerning macroeconomic building blocks has apparently not yet affected professional forecasts. On the contrary, we conclude that professional forecasters still have faith in macroeconomic building blocks.
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Do Euro Area Forecasters (Still) Have Faith in Macroeconomic Building Blocks? Expectation Formation when Economics is in Crisis
2009Co-Authors: Ralf Fendel, Eliza M. Lis, Jan-christoph RülkeAbstract:We use the ECB's Survey of Professional Forecaster to show that euro area Expectations are consistent with standard macroeconomic building blocks such as the Phillips curve, Okun's law, and the Taylor rule. Moreover, the paper finds that the financial and economic crisis of 2007-2009 did not change the Expectation Formation process as professional forecasters still adopt macroeconomic building blocks for their forecast. The scepticism that has recently been raised concerning macroeconomic building blocks has apparently not yet affected professional forecasts. On the contrary, we conclude that professional forecasters still have faith in macroeconomic building blocks.
Hamed Qahri Saremi - One of the best experts on this subject based on the ideXlab platform.
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factors affecting internet banking pre usage Expectation Formation
Hawaii International Conference on System Sciences, 2013Co-Authors: Ali Reza Montazemi, Hamed Qahri SaremiAbstract:Self-service technologies appeal to service providers because they can standardize service delivery, reduce labor and service costs, and reach new consumers who are unreachable through the bricks-and-mortar channels. Our focus in this paper is on Internet banking. Scholars have proposed a variety of different models to explain the factors affecting Internet banking initial use intention Formation that are supported by their own data, making it difficult to compare these models systematically. We use extant literature to propose a model of factors affecting Internet banking initial use intention Formation. To test our model, we applied random-effect meta-analytic structural equation modeling method to data reported in 26 primary empirical studies of Internet banking pre-usage. The results of our analysis show that the combined total effects of three dimensions of trust are more prominent than perceived usefulness and perceived ease-of-use in enticing the consumers towards initial use of the Internet banking.
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HICSS - Factors Affecting Internet Banking Pre-usage Expectation Formation
2013 46th Hawaii International Conference on System Sciences, 2013Co-Authors: Ali Reza Montazemi, Hamed Qahri SaremiAbstract:Self-service technologies appeal to service providers because they can standardize service delivery, reduce labor and service costs, and reach new consumers who are unreachable through the bricks-and-mortar channels. Our focus in this paper is on Internet banking. Scholars have proposed a variety of different models to explain the factors affecting Internet banking initial use intention Formation that are supported by their own data, making it difficult to compare these models systematically. We use extant literature to propose a model of factors affecting Internet banking initial use intention Formation. To test our model, we applied random-effect meta-analytic structural equation modeling method to data reported in 26 primary empirical studies of Internet banking pre-usage. The results of our analysis show that the combined total effects of three dimensions of trust are more prominent than perceived usefulness and perceived ease-of-use in enticing the consumers towards initial use of the Internet banking.
