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

exchange rate formationheterogeneous agentsuncertainty aversion

Mathematics Subject Classification ID

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

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

Cites work

• 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
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Asset price and wealth dynamics in a financial market with heterogeneous agents
• Behavioral heterogeneity in stock prices
• BUBBLES IN FOREIGN EXCHANGE MARKETS
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Identification in Parametric Models
• Intertemporal Asset Pricing under Knightian Uncertainty
• Knightian decision theory. I.
• Maxmin expected utility with non-unique prior
• Nonlinear Regression with Dependent Observations
• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
• Rational expectations equilibrium with conditioning on past prices: A mean-variance example
• Risk, ambiguity and the Savage axioms
• Subjective Probability and Expected Utility without Additivity
• Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle
• Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio

Cited in

(4)

• Equilibria with vector-valued utilities and preference information. The analysis of a mixed duopoly
• 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

This page was built for publication: Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2270565)