Razionalità versus "chartism": conseguenze per la teoria dei cambi

P. VITALE

Abstract


The aim of the work is to interpret recent topics of discussion related to the theory of exchange rates, taking into account the conclusions of the theoretical research on financial and currency markets. The author suggests that the setup of the analysis of financial markets should be reconsidered to focus on the elements of inertia and uncertainty in the behaviour of economic agents, factors that are capable of distancing currency markets from efficient conditions. Highlighting the existing empirical and theoretical principals, the author first considers the various reasons for the compatibility of rationality with the distortion of expectations and then the characteristics of the models of the formation of expectations regarding the nature of speculation. A fundamental component of short-term dynamics is identified in "chartism", for which the theoretical reasons are discussed.

 

 JEL Codes: D51

 


Parole chiave


Rationality, chartism, exchange rates, currency markets, speculation

Full Text

PDF

Riferimenti bibliografici


ALLEN H. and TAYLOR M.P (1990), "Charts, noise and fundamentals in the London foreign exchange market", The Economic Journal, no. 100, pp. 49-59.

BLACK F. (1986), "Noise", The Journal of Finance, no. 41, pp. 529-43.

CUTLER D.M., POTERBA I.M. and SUMMERS L.H (1990), "Speculative dynamics", NBER Working Paper, no. 3242.

DE GRAUWE P. and DEWATCHER H. (1990), "A chaotic monetary model of the exchange rate", CEPR Discussion Paper, no. 466.

DE LONG J.B., SHLEIFER A. and SUMMERS L.H., WALDMANN R.J. (1990), "Noise trader risk in financial markets", Journal of Political Economy, no. 98, pp. 703-38.

FRANKEL J.A. and FROOT K.A. (1986), "The dollar as a speculative bubble: a tale of Fundamentalists and Chartists", NBER Working Paper, no. 1854.

FRANKEL J.A. and FROOT K.A. (1987), "Using survey data to test standard prepositions regarding exchange rate expectations", The American Economic Review, no. 77, pp. 133-53.

FRANKEL J.A. and FROOT K.A. (1987), "Short term and long term expectations of the yen/dollar exchange rate: evidence from survey data", Journal of Japanese and International Economics, no. 1, pp. 249-74.

FRANKEL J.A. and FROOT K.A. (1990), "Chartists, Fundamentalists, and trading in the foreign exchange market", The American Economic Review, no. 80, Papers and Proceedings, pp. 181-85.

FROOT K.A. and FRANKEL J.A. (1989), "Forward discount bias: is it an exchange risk premium?", Quarterly Journal of Economics, no. 104, pp. 139-61.

FROOT K.A. and HO T. (1989), "On the consistency of short run and long run exchange rate expectations", Journal of International Money and Finance, no. 8, pp. 487-510.

GOODHART C. (1988), "The foreign exchange market: a random walk with a dragging anchor", Economica, no. 55, pp. 437-60.

GOODHART C. (1990), "'News' and the foreign exchange market", LSE Discussion Paper, no. 71.

GOODMAN S.H.. (1979), "Foreign exchange rate forecasting techniques: implications for business and policy", The Journal of Finance, no. 34, pp. 415-27.

HARDOUVELLIS G.A. (1988), "Economic news, exchange rates and interest rates", Journal of International Money and Finance, no. 7, pp. 23-35.

HOGAN K., MELVIN M. and ROBERTS D.J. (1991), "Trade balance news and the exchange rates: is there a policy signal?", Journal of International Money and Finance, no. 10, pp. s90-99.

IRWIN D.A. (1989), "Trade deficit announcements, intervention, and the dollar", Economic Letters, no. 31, pp. 257-62.

HO T. and ROLEY V.V. (1987), "News from the U.S. and Japan: which moves the yen/dollar exchange rate?", Journal of Monetary Economics, no. 19, pp. 255-77.

ITO T. and ROLEY V.V. (1988), "Intraday yen/dollar exchange rate movements: news or noise?", NBER Working Paper, no. 2703.

HO T. (1990), "Foreign exchange rate expectations: micro survey data", The American Economic Review, no. 80, pp. 434-49.

KRUGMAN P. (1985), "Is the strong dollar sustainable?", NBER Working Paper, no. 1644.

LAI K.S. (1990), "An evaluation of survey exchange rate forecasts", Economic Letters, no. 32, pp. 61-65.

LEVICH R.M. and THOMAS L.R. (1993), "The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach", Journal of International Money and Finance, no. 12, pp. 451-74.

LEWIS K.K. (1988), "The persistence of the 'peso problem' when policy is noisy", Journal of International Money and Finance, no. 7, pp. 5-21.

LEWIS K.K. (1989), "Can learning affect exchange rate behaVior? The case of the dollar in the early 1980's", Journal of Monetary Economics, no. 23, pp. 79-100.

SCHULMEISTER S. (1988), "Speculazione sulle valute e fluttuazioni del dollaro", in questa Rivista, n. 167, pp. 413-37.

SCHULMEISTER S. (1990), "I profitti speculativi delle banche avvengono a spese degli operatori? Una risposta", in questa Rivista, n. 174, pp. 405-11.

TAKAGI S. (1991), "Exchange rate expectations: a survey of survey studies", IMF Staff Papers, no. 106, pp. 156-63.

TAYLOR M.P. (1989), "Expectations, risk and uncertainty in the foreign exchange market: some results based on survey data", The Manchester School of Economics and Social Studies, no. 57, pp. 142-53.

TAYLOR M.P. (1991), "Intervention, interest rates, and charts: three essays in inter-national finance", IMF Working Paper, no. 106.

WAKITA S. (1989), "Are survey data trusted? American account deficit and yen/dollar rate", Economic Letters, no. 29, pp. 339-44.


Refback

  • Non ci sono refbacks, per ora.


Copyright (c) 2016 P. VITALE

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.

 

Con il contributo di  

ISSN 2037-3651

Reg. Tribunale di Roma n.377/2009 del 19/11/2009