Nonlinear expectations in speculative markets: Evidence from the ECB survey of professional forecasters
Stefan Reitz,
Jan-Christoph Rülke and
Georg Stadtmann
No 1706, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)
Abstract:
Chartist and fundamentalist models have proven to be capable of replicating stylized facts on speculative markets. In general, this is achieved by specifying nonlinear interactions of otherwise linear asset price expectations of the respective trader groups. This paper investigates whether or not regressive and extrapolative expectations themselves exhibit significant nonlinear dynamics. The empirical results are based on a new data set from the European Central Bank Survey of Professional Forecasters on oil price expectations. In particular, we find that forecasters form destabilizing expectations in the neighborhood of the fundamental value, whereas expectations tend to be stabilizing in the presence of substantial oil price misalignment.
Keywords: Agent based models; nonlinear expectations; survey data (search for similar items in EconPapers)
JEL-codes: C33 D84 F31 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:
Downloads: (external link)
https://www.econstor.eu/bitstream/10419/45900/1/662375033.pdf (application/pdf)
Related works:
Journal Article: Nonlinear expectations in speculative markets – Evidence from the ECB survey of professional forecasters (2012)
Working Paper: Nonlinear expectations in speculative markets - Evidence from the ECB survey of professional forecasters (2012)
Working Paper: Nonlinear expectations in speculative markets: Evidence from the ECB survey of professional forecasters (2012)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkwp:1706
Access Statistics for this paper
More papers in Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().