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Herdenverhalten von Wechselkursprognostikern? / Herd Behavior of Exchange Rate Forecasters?

Listed author(s):
  • Pierdzioch Christian

    ()

    (Universität des Saarlandes, Rechts- und Wirtschaftswissenschaftliche Fakultät, Saarländisches Institut für sozioökonomische Forschung und Beratung. Postfach 15 11 50, 66041 Saarbrücken, Germany)

  • Stadtmann Georg

    ()

    (European University Viadrina, August-Bebel-Straße 12, 15207 Frankfurt (Oder), Germany, und University of Southern Denmark, Campusvej 55, 5230 Odense M, Denmark)

Exchange rates have been found to be more volatile than underlying macroeconomic fundamentals. Researchers have argued that the empirically observed high exchange-rate volatility may result from herd behavior of foreign-exchange traders and forecasters. We sketch a standard model that illustrates that herd behavior of foreign-exchange-rate forecasters may be rational. We then use survey data to test for herd behavior of forecasters. Our results suggest that exchange-rate-forecasters anti-herd and “lean against the wind” when forecasting exchange rates.

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Article provided by De Gruyter in its journal Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).

Volume (Year): 230 (2010)
Issue (Month): 4 (August)
Pages: 436-453

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Handle: RePEc:jns:jbstat:v:230:y:2010:i:4:p:436-453
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