Do exchange-rate forecasters herd? A note on the zloty/dollar and yen/dollar exchange rate
AbstractWe 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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Bibliographic InfoArticle provided by National Bank of Poland, Economic Institute in its journal Bank i Kredyt.
Volume (Year): 42 (2011)
Issue (Month): 1 ()
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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exchange rates; forecasting; herding;
Find related papers by JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
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- 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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