Blake D. LeBaron
International Business School
Brandeis University, MS-021
Waltham, MA 02454-9110
Institutional Affiliation: Brandeis University
Information about this author at RePEc
NBER Working Papers and Publications
|March 1996||Technical Trading Rule Profitability and Foreign Exchange Intervention|
There is reliable evidence that simple rules used by traders have some predictive value over the future movement of foreign exchange prices. This paper will review some of this evidence and discuss the economic magnitude of this predictability. The profitability of these trading rules will then be analyzed in connection with central bank activity using intervention data from the Federal Reserve. The objective is to find out to what extent foreign exchange predictability can be confined to periods of central bank activity in the foreign exchange market. The results indicate that after removing periods in which the Federal Reserve is active, exchange rate predictability is dramatically reduced.
Published: Journal of International Economics, Vol. 49, no. 1 (October 1999): 125-143 . citation courtesy of
|January 1995||A Dynamic Structural Model for Stock Return Volatility and Trading Volume|
with William A. Brock: w4988
This paper seeks to develop a structural model that lets data on asset returns and trading volume speak to whether volatility autocorrelation comes from the fundamental that the trading process is pricing or, is caused by the trading process itself. Returns and volume data argue, in the context of our model, that persistent volatility is caused by traders experimenting with different beliefs based upon past profit experience and their estimates of future profit experience. A major theme of our paper is to introduce adaptive agents in the spirit of Sargent (1993) but have them adapt their strategies on a time scale that is slower than the time scale on which the trading process takes place. This will lead to positive autocorrelation in volatility and volume on the time scale of the tradin...
Published: Review of Economics and Statistics, vol. LXXVIII, no. 1, February 1996, pp. 94-110 citation courtesy of
|January 1990||Liquidity Constraints in Production-Based Asset-Pricing Models|
with William A. Brock
in Asymmetric Information, Corporate Finance, and Investment, R. Glenn Hubbard, editor
|September 1989||Liquidity Constraints in Production Based Asset Pricing Models|
with William A. Brock: w3107
This paper explores the time series implications of introducing credit constraints into a production based asset pricing model. Simulations are performed choosing parameter values which generate reasonable values for aggregate fluctuations. These results show that mean reversion in simulated returns series, measured by variance ration tests, is enhanced with the introduction of binding credit constraints. Without these constraints there is very little evidence of mean reversion. This is consistent with financial market data where the weak evidence for mean reversion is stronger in small firm returns. Other tests are run on the simulated series including checking the standard deviation, skewness, and kurtosis. These other tests do not show strong differences between the constrained and unco...