Expectation Errors in the Foreign Exchange Market, Michael Moore
24 Agosto 2016
El Centro de Economía Aplicada del Departamento de Ingenieria Industrial y  El Instituto Milenio para la Investigación en Imperfecciones de Mercado y Políticas Publicas  de la Universidad de Chile, organizaron la presentación del siguiente Paper:

"Expectation Errors in the Foreign Exchange Market", a cargo de Michael Moore, Warwick Business School.


Abstract
This paper argues that order flow can explain exchange rate forecasting errors.  A unified theoretical model is developed showing that forecasting errors can be explained by both informational rigidities and portfolio shifts.  This is applied to Brazilian data using a unique data set of daily consensus exchange rate forecasts managed by the Banco Central do Brasil along with order flow derived from the FX futures market.  The results strongly support the theory.

República 701, Santiago, Chile. Teléfono: (+562) 2978 4054 / (+562) 2978 4914

E-Mail: cf@dii.uchile.cl

El Centro de Finanzas agradece el significativo aporte del Banco de Crédito e Inversiones, BCI, a esta iniciativa