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Do exchange-rate forecasters herd? A note on the zloty/dollar and yen/dollar exchange rate

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  • Georg Stadtmann

    ()
    (Europa-Universität Viadrina)

  • Dirk Schäfer

    (University of Southern Denmark (SDU), Department of Business and Economics)

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    Abstract

    We used the foreign-exchange rate forecasts of the Consensus Economics Inc. poll to analyze whether exchange-rate forecasters herd or anti-herd. Forecasters herd (anti-herd) if their forecasts are biased towards (away from) the consensus. Upon implementing a robust empirical test developed by Bernhardt, Campello, Kutsoati (2006), we found that forecasters anti-herd.

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    File URL: http://www.bankikredyt.nbp.pl/content/2011/01/bik_01_2011_01_art.pdf
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    Bibliographic Info

    Article provided by National Bank of Poland, Economic Institute in its journal Bank i Kredyt.

    Volume (Year): 42 (2011)
    Issue (Month): 1 ()
    Pages: 7-18

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    Handle: RePEc:nbp:nbpbik:v:42:y:2011:i:1:p:7-18

    Note: We would like to thank the Euro Area Macroeconomic Developments Division of the European Central Bank (ECB) for providing the data.
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    Related research

    Keywords: exchange rates; forecasting; herding;

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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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