Expectations on the yen/dollar exchange rate - Evidence from the Wall Street Journal forecast poll
We use the foreign exchange forecasts of the Wall Street Journal poll to analyze forecasters' expectation formation process for the yen against the US dollar for the period 1989-2007. We also contrast the expectation formation process with the actual exchange rate process. We find that most forecasters have contrarian and stabilizing exchange rate expectations. Our results also indicate significant heterogeneity between forecasters. However, forecasters on average underestimate the degree of contrarian and stabilizing behavior.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 24 (2010)
Issue (Month): 3 (September)
|Contact details of provider:|| Web page: http://www.elsevier.com/locate/inca/622903 |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Takatoshi Ito, 1988.
"Foreign Exchange Rate Expectations: Micro Survey Data,"
NBER Working Papers
2679, National Bureau of Economic Research, Inc.
- Ito, Takatoshi, 1990. "Foreign Exchange Rate Expectations: Micro Survey Data," American Economic Review, American Economic Association, vol. 80(3), pages 434-49, June.
- Macdonald, Ronald & Marsh, Ian W., 1996. "Currency forecasters are heterogeneous: confirmation and consequences," Journal of International Money and Finance, Elsevier, vol. 15(5), pages 665-685, October.
- Jeffrey A. Frankel & Andrew K. Rose, 1994.
"A Survey of Empirical Research on Nominal Exchange Rates,"
NBER Working Papers
4865, National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel and Andrew K. Rose., 1995. "A Survey of Empirical Research on Nominal Exchange Rates," Center for International and Development Economics Research (CIDER) Working Papers C95-051, University of California at Berkeley.
- Stefan Reitz & Ulf Slopek, 2009.
"Non-Linear Oil Price Dynamics: A Tale of Heterogeneous Speculators?,"
German Economic Review,
Verein für Socialpolitik, vol. 10, pages 270-283, 08.
- Reitz, Stefan & Slopek, Ulf Dieter, 2008. "Nonlinear oil price dynamics: a tale of heterogeneous speculators?," Discussion Paper Series 1: Economic Studies 2008,10, Deutsche Bundesbank, Research Centre.
- Menkhoff, Lukas, 2001. "Short-Term Horizons in Foreign Exchange? Survey Evidence from Dealers and Fund Managers," Kyklos, Wiley Blackwell, vol. 54(1), pages 27-47.
- 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.
- Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, vol. 80(4), pages 714-35, September.
- Frankel, Jeff & Froot, Ken, 1986.
"Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations,"
Department of Economics, Working Paper Series
qt1972q8wm, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Frankel, Jeffrey A & Froot, Kenneth A, 1987. "Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations," American Economic Review, American Economic Association, vol. 77(1), pages 133-53, March.
- Elliott, Graham & Ito, Takatoshi, 1999.
"Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market,"
Journal of Monetary Economics,
Elsevier, vol. 43(2), pages 435-456, April.
- Graham Elliott & Takatoshi Ito, 1998. "Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange rate Market," Discussion Paper Series a347, Institute of Economic Research, Hitotsubashi University.
- Elliott, Graham & ITO, TAKATOSHI, 1998. "Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market," University of California at San Diego, Economics Working Paper Series qt5wm0q8mz, Department of Economics, UC San Diego.
- Takatoshi Ito, 2005.
"Interventions and Japanese economic recovery,"
International Economics and Economic Policy,
Springer, vol. 2(2), pages 219-239, November.
- Robert Eisenbeis & Daniel Waggoner & Tao Zha, 2002. "Evaluating Wall Street Journal survey forecasters: a multivariate approach," Working Paper 2002-8, Federal Reserve Bank of Atlanta.
- Mitchell, Karlyn & Pearce, Douglas K., 2007.
"Professional forecasts of interest rates and exchange rates: Evidence from the Wall Street Journal's panel of economists,"
Journal of Macroeconomics,
Elsevier, vol. 29(4), pages 840-854, December.
- Karlyn Mitchell & Douglas K. Pearce, 2004. "Professional Forecasts of Interest Rates and Exchange Rates: Evidence from the Wall Street Journal's Panel of Economists," Working Paper Series 004, North Carolina State University, Department of Economics.
- Froot, Kenneth A. & Ito, Takatoshi, 1989.
"On the consistency of short-run and long-run exchange rate expectations,"
Journal of International Money and Finance,
Elsevier, vol. 8(4), pages 487-510, December.
- Kenneth A. Froot & Takatoshi Ito, 1988. "On the Consistency of Short-run and Long-run Exchange Rate Expectations," NBER Working Papers 2577, National Bureau of Economic Research, Inc.
- Cho, Dong W. & Hersch, Philip L., 1998. "Forecaster Characteristics and Forecast Outcomes," Journal of Economics and Business, Elsevier, vol. 50(1), pages 39-48, January.
- Frankel, Jeffrey A & Froot, Kenneth A, 1990. "Chartists, Fundamentalists, and Trading in the Foreign Exchange Market," American Economic Review, American Economic Association, vol. 80(2), pages 181-85, May.
- Jeffrey A. Frankel & Kenneth A. Froot, 1985. "Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations," NBER Working Papers 1672, National Bureau of Economic Research, Inc.
- David Laster & Paul Bennett & In Sun Geoum, 1999. "Rational Bias In Macroeconomic Forecasts," The Quarterly Journal of Economics, MIT Press, vol. 114(1), pages 293-318, February.
- Gabriele Galati & Alexandra Heath & Patrick McGuire, 2007. "Evidence of carry trade activity," BIS Quarterly Review, Bank for International Settlements, September.
- Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
- Greer, Mark, 2003. "Directional accuracy tests of long-term interest rate forecasts," International Journal of Forecasting, Elsevier, vol. 19(2), pages 291-298.
- Kolb, R. A. & Stekler, H. O., 1996. "Is there a consensus among financial forecasters?," International Journal of Forecasting, Elsevier, vol. 12(4), pages 455-464, December.
When requesting a correction, please mention this item's handle: RePEc:eee:jjieco:v:24:y:2010:i:3:p:355-368. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.