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Expectations on the yen/dollar exchange rate - Evidence from the Wall Street Journal forecast poll

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  • Ruelke, Jan C.
  • Frenkel, Michael R.
  • Stadtmann, Georg
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    Abstract

    We use the foreign exchange forecasts of the Wall Street Journal poll to analyze forecasters' expectation formation process for the yen against the US dollar for the period 1989-2007. We also contrast the expectation formation process with the actual exchange rate process. We find that most forecasters have contrarian and stabilizing exchange rate expectations. Our results also indicate significant heterogeneity between forecasters. However, forecasters on average underestimate the degree of contrarian and stabilizing behavior.

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    File URL: http://www.sciencedirect.com/science/article/B6WMC-4Y5GXWW-1/2/7f355f2e53c0154a18fc2b461c57b7c1
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of the Japanese and International Economies.

    Volume (Year): 24 (2010)
    Issue (Month): 3 (September)
    Pages: 355-368

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    Handle: RePEc:eee:jjieco:v:24:y:2010:i:3:p:355-368

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    Web page: http://www.elsevier.com/locate/inca/622903

    Related research

    Keywords: Foreign exchange market Forecast bias Random walk;

    References

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    1. Benassy-Quere, Agnes & Larribeau, Sophie & MacDonald, Ronald, 2003. "Models of exchange rate expectations: how much heterogeneity?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(2), pages 113-136, April.
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    4. Frankel, Jeff & Froot, Ken, 1986. "Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations," Department of Economics, Working Paper Series qt1972q8wm, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
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    15. Macdonald, Ronald & Marsh, Ian W., 1996. "Currency forecasters are heterogeneous: confirmation and consequences," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 665-685, October.
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    18. Frankel, Jeffrey A & Froot, Kenneth A, 1990. "Chartists, Fundamentalists, and Trading in the Foreign Exchange Market," American Economic Review, American Economic Association, vol. 80(2), pages 181-85, May.
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    Cited by:
    1. MacDonald, Ronald & Nagayasu, Jun, 2013. "Currency Forecast Errors at Times of Low Interest Rates: Evidence from Survey Data on the Yen/Dollar Exchange Rate," SIRE Discussion Papers 2013-100, Scottish Institute for Research in Economics (SIRE).
    2. Kawakami, Kei, 2013. "Conditional forecast selection from many forecasts: An application to the Yen/Dollar exchange rate," Journal of the Japanese and International Economies, Elsevier, vol. 28(C), pages 1-18.

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