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Two currencies, one model? Evidence from the Wall Street Journal forecast poll

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  • Frenkel, Michael
  • Rülke, Jan-Christoph
  • Stadtmann, Georg
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    Abstract

    We use the foreign exchange forecasts of the Wall Street Journal (WSJ) poll to analyze the expectation formation process of forecasters for the exchange rates of the euro and the yen vis-à-vis the U.S. dollar for the period 1999-2005. We also compare the expectation formation process with the actual exchange rate process. We find that most forecasters have contrarian exchange rate expectations, but our results also indicate significant heterogeneity between forecasters. While the actual exchange rate process of the yen/dollar exchange rate shows negative autocorrelation, the dollar/euro exchange rate exhibits positive autocorrelation.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 19 (2009)
    Issue (Month): 4 (October)
    Pages: 588-596

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    Handle: RePEc:eee:intfin:v:19:y:2009:i:4:p:588-596

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    Web page: http://www.elsevier.com/locate/intfin

    Related research

    Keywords: Foreign exchange market Expectations Models with panel data;

    References

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    15. Robert Eisenbeis & Daniel Waggoner & Tao Zha, 2002. "Evaluating Wall Street Journal survey forecasters: a multivariate approach," Working Paper 2002-8, Federal Reserve Bank of Atlanta.
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    Cited by:
    1. Ken Miyajima, 2013. "Foreign exchange intervention and expectation in emerging economies," BIS Working Papers 414, Bank for International Settlements.
    2. Chortareas, Georgios & Jitmaneeroj, Boonlert & Wood, Andrew, 2012. "Forecast rationality and monetary policy frameworks: Evidence from UK interest rate forecasts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 209-231.

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