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

DOI10.1016/J.JEDC.2008.11.008MaRDI QIDQ2270565zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• BUBBLES IN FOREIGN EXCHANGE MARKETS
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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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