A note on forecasting emerging market exchange rates: Evidence of anti-herding
AbstractUsing survey forecasts of a large number of Asian, European, and South American emerging market exchange rates, we studied empirically whether evidence of herding or antiherding behavior of exchange-rate forecasters can be detected in the cross-section of forecasts. Emerging market exchange-rate forecasts are consistent with herding (anti-herding) if forecasts are biased towards (away from) the consensus forecast. Our empirical findings provide strong evidence of anti-herding of emerging market exchange-rate forecasters. --
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Bibliographic InfoPaper provided by European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics in its series Discussion Papers with number 324.
Date of creation: 2012
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Other versions of this item:
- Christian Pierdzioch & Jan-Christoph Rülke & Georg Stadtmann, 2012. "A Note on Forecasting Emerging Market Exchange Rates: Evidence of Anti-herding," Review of International Economics, Wiley Blackwell, vol. 20(5), pages 974-984, November.
- F31 - International Economics - - International Finance - - - Foreign Exchange
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-13 (All new papers)
- NEP-FMK-2012-10-13 (Financial Markets)
- NEP-FOR-2012-10-13 (Forecasting)
- NEP-MON-2012-10-13 (Monetary Economics)
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