Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation

DOI10.1016/J.JEDC.2008.11.008zbMATH Open1170.91386OpenAlexW2248106794MaRDI QIDQ2270565FDOQ2270565

Authors: Roman Kozhan, Mark Salmon 

Publication date: 28 July 2009

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: http://wrap.warwick.ac.uk/1725/1/WRAP_Kozhan_fwp08-05.pdf

Recommendations

• Animal spirits in the foreign exchange market
• Heterogeneity of agents, transactions costs and the exchange rate
• Heterogeneous expectations, currency options and the euro/dollar
• BUBBLES IN FOREIGN EXCHANGE MARKETS
• Model uncertainty and exchange rate volatility

zbMATH Keywords

heterogeneous agentsuncertainty aversionexchange rate formation

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Financial applications of other theories (91G80) Heterogeneous agent models (91B69)

Cites Work

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• Asset price and wealth dynamics in a financial market with heterogeneous agents
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• A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome
• A generalization of the non-parametric Henriksson-Merton test of market timing
• BUBBLES IN FOREIGN EXCHANGE MARKETS

Cited In (4)

• Performance of rational and boundedly rational agents in a model with persistent exchange-rate volatility
• Animal spirits in the foreign exchange market
• Heterogeneous beliefs, regret, and uncertainty: the role of speculation in energy price dynamics
• Equilibria with vector-valued utilities and preference information. The analysis of a mixed duopoly

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