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Herdenverhalten von Wechselkursprognostikern?

  • Christian Pierdzioch

    ()

    (Universität des Saarlandes)

  • Georg Stadtmann

    ()

    (European University Viadrina)

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 Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

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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