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Fly with the eagles or scratch with the chickens? Zum Herdenverhalten von Wechselkursprognostikern

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  • Pierdzioch, Christian
  • Schäfer, Dirk
  • Stadtmann, Georg

Abstract

In diesem Beitrag wird analysiert, ob Wechselkursprognosen Anhaltspunkte dafür liefern, dass Prognostiker ein so genanntes Herdenverhalten zeigen. Auf der Basis unterschiedlicher theoretischer Modellansätze wird skizziert, warum Prognostiker einen Anreiz haben könnten, einem Herdentrieb zu folgen. In einer empirischen Untersuchung werden Prognosen für die Wechselkurse des Japanischen Yen, des Schweizer Franken, der Deutschen Mark und des Euros - gemessen jeweils gegenüber dem U.S.-Dollar - eingesetzt, um empirisch auf Herdenverhalten zu testen. Die Ergebnisse deuten darauf hin, dass nicht Herdenverhalten, sondern Anti-Herding vorzuherrschen scheint. Die Prognostiker scheinen daher im Hinblick auf ihre Prognosen 'Produktdifferenzierung' zu betreiben. -- 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

Paper provided by European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics in its series Discussion Papers with number 287.

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Date of creation: 2010
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Handle: RePEc:zbw:euvwdp:287

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Keywords: Wechselkurse; Wechselkursprognosen; Herdenverhalten;

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