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Fly with the Eagles or Scratch with the Chickens? – Zum Herdenverhalten von Wechselkursprognostikern

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  • Christian Pierdzioch

    (Helmut-Schmidt-Universität, Department of Economics, Holstenhofweg 85, P.O.B. 700822, D-22008 Hamburg)

  • Georg Stadtmann

    (University of Southern Denmark, Department of Business and Economics, Campusvej 55, DK-5230 Odense M, und Europa-Universität Viadrina, Lehrstuhl für Volkswirtschaftslehre, insb. Makroökonomik, Postfach 1786)

  • Dirk Schäfer

    (Europa-Universität Viadrina, Lehrstuhl für Volkswirtschaftslehre, insb. Makroökonomie)

Abstract

We analyze whether exchange-rate forecasters herd. To this end, we lay out two widely studied theoretical models of forecaster herding. The models illustrate why forecasters may herd. We then empirically analyze whether forecasts of the Yen/ Dollar, Swiss franc/Dollar, German mark/Dollar, and Euro/Dollar exchange rates provide evidence of herding. Our results do not yield evidence of herding. On the contrary, we find strong evidence of anti-herding. Anti-herding could indicate that forecasters adhere to a strategy of „forecast differentation“.

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Bibliographic Info

Article provided by Credit and Capital Markets in its journal Kredit und Kapital.

Volume (Year): 44 (2011)
Issue (Month): 4 ()
Pages: 465-490

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Handle: RePEc:kuk:journl:v:44:y:2011:i:4:p:465-490

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  1. Drehmann, Mathias & Oechssler, Joerg & Roider, Andreas, 2003. "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," University of California at Santa Barbara, Economics Working Paper Series qt6zf5469f, Department of Economics, UC Santa Barbara.
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  9. Christian Dreger & Georg Stadtmann, 2008. "What drives heterogeneity in foreign exchange rate expectations: insights from a new survey," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 360-367.
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  19. Batchelor, Roy A. & Dua, Pami, 1990. "Product differentiation in the economic forecasting industry," International Journal of Forecasting, Elsevier, vol. 6(3), pages 311-316, October.
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  25. Cheung, Yin-Wong & Wong, Clement Yuk-Pang, 2000. "A survey of market practitioners' views on exchange rate dynamics," Journal of International Economics, Elsevier, vol. 51(2), pages 401-419, August.
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