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dc.contributor.authorDi Filippo, Gabriele
dc.date.accessioned2012-03-22T12:42:21Z
dc.date.available2012-03-22T12:42:21Z
dc.date.issued2011-01
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/8560
dc.language.isoenen
dc.subjectExchange Rate Dynamicsen
dc.subjectConvention Theoryen
dc.subjectImperfect Knowledge Economicsen
dc.subjectKalman filteren
dc.subjectGenetic Algorithmen
dc.subject.ddc332en
dc.subject.classificationjelG10en
dc.subject.classificationjelG12en
dc.subject.classificationjelF31en
dc.titleConventions in the foreign exchange market : Can they really explain exchange rate dynamics ?en
dc.typeCommunication / Conférence
dc.description.abstractenThe present article provides an unorthodox model exchange rate dynamics based on conventions that prevail among market participants. We build a theoretical model that highlights the mechanisms underlying the formation of market conventions. We then test this model empirically on the euro/dollar exchange rate between January 1995 and December 2008. We rely on two alternative methods : a macroeconomic analysis and an econometric analysis based on the estimation of a time varying parameter model. Both methods show that market switches between fundamentals considered in a bull convention and in a bear convention explain the euro/dollar dynamics between January 1995 and December 2008. Besides, at horizons longer than 1 month, the out-of-sample forecasting power of the convention model beats the traditional exchange rate models and the random walk.en
dc.identifier.citationpages39en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitle28th GdRE Annual International Symposium on Money, Banking and Financeen
dc.relation.confdate2011-06
dc.relation.confcityReadingen
dc.relation.confcountryRoyaume-Unien


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