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Fly with the Eagles or Scratch with the Chickens? – Zum Herdenverhalten von Wechselkursprognostikern

Listed author(s):
  • Christian Pierdzioch

    (Helmut-Schmidt-Universität, Department of Economics, Holstenhofweg 85, P.O.B. 700822, D-22008 Hamburg)

  • Georg Stadtmann

    (University of Southern Denmark, Department of Business and Economics, Campusvej 55, DK-5230 Odense M, und Europa-Universität Viadrina, Lehrstuhl für Volkswirtschaftslehre, insb. Makroökonomik, Postfach 1786)

  • Dirk Schäfer

    (Europa-Universität Viadrina, Lehrstuhl für Volkswirtschaftslehre, insb. Makroökonomie)

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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Article provided by Credit and Capital Markets in its journal Kredit und Kapital.

Volume (Year): 44 (2011)
Issue (Month): 4 ()
Pages: 465-490

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Handle: RePEc:kuk:journl:v:44:y:2011:i:4:p:465-490
Contact details of provider: Web page: http://www.credit-and-capital-markets.de/

References listed on IDEAS
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  1. David Laster & Paul Bennett & In Sun Geoum, 1999. "Rational Bias in Macroeconomic Forecasts," The Quarterly Journal of Economics, Oxford University Press, vol. 114(1), pages 293-318.
  2. Drehmann, Mathias & Oechssler, Joerg & Roider, Andreas, 2003. "Herding and Contrarian Behavior in Financial Markets: An Internet Experiment," University of California at Santa Barbara, Economics Working Paper Series qt6zf5469f, Department of Economics, UC Santa Barbara.
  3. Owen Lamont, 1995. "Macroeconomics Forecasts and Microeconomic Forecasters," NBER Working Papers 5284, National Bureau of Economic Research, Inc.
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  7. Kilian, Lutz & Taylor, Mark P., 2001. "Why is it so difficult to beat the random walk forecast of exchange rates?," Working Paper Series 0088, European Central Bank.
  8. Marcel Naujoks & Kevin Aretz & Alexander Kerl & Andreas Walter, 2009. "Do German security analysts herd?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(1), pages 3-29, March.
  9. Takatoshi Ito, 1988. "Foreign Exchange Rate Expectations: Micro Survey Data," NBER Working Papers 2679, National Bureau of Economic Research, Inc.
  10. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
  11. Bernhardt, Dan & Campello, Murillo & Kutsoati, Edward, 2006. "Who herds?," Journal of Financial Economics, Elsevier, vol. 80(3), pages 657-675, June.
  12. 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.
  13. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  14. Cheung, Yin-Wong & Wong, Clement Yuk-Pang, 2000. "A survey of market practitioners' views on exchange rate dynamics," Journal of International Economics, Elsevier, vol. 51(2), pages 401-419, August.
  15. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1989. "Positive Feedback Investment Strategies and Destabilizing Rational Speculation," NBER Working Papers 2880, National Bureau of Economic Research, Inc.
  16. Cheung, Yin-Wong & Chinn, Menzie David, 2001. "Currency traders and exchange rate dynamics: a survey of the US market," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 439-471, August.
  17. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 51-74.
  18. Sushil Bikhchandani & David Hirshleifer & Ivo Welch, 1998. "Learning from the Behavior of Others: Conformity, Fads, and Informational Cascades," Journal of Economic Perspectives, American Economic Association, vol. 12(3), pages 151-170, Summer.
  19. Marco Cipriani & Antonio Guarino, 2005. "Herd Behavior in a Laboratory Financial Market," Experimental 0502002, EconWPA.
  20. 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.
  21. Menkhoff, Lukas, 1997. "Examining the Use of Technical Currency Analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(4), pages 307-318, October.
  22. Menkhoff, L., 1998. "The noise trading approach -- questionnaire evidence from foreign exchange," Journal of International Money and Finance, Elsevier, vol. 17(3), pages 547-564, June.
  23. Christian Pierdzioch & Georg Stadtmann, 2007. "Exchange Rates, Expectations, and Monetary Policy: a NOEM Perspective," Review of International Economics, Wiley Blackwell, vol. 15(2), pages 252-268, 05.
  24. Frank Westerhoff, 2003. "Heterogeneous traders and the Tobin tax," Journal of Evolutionary Economics, Springer, vol. 13(1), pages 53-70, 02.
  25. Christian Dreger & Georg Stadtmann, 2008. "What drives heterogeneity in foreign exchange rate expectations: insights from a new survey," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 13(4), pages 360-367.
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