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

  • 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/

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  1. Marcel Naujoks & Kevin Aretz & Alexander Kerl & Andreas Walter, 2009. "Do German security analysts herd?," Financial Markets and Portfolio Management, Springer, vol. 23(1), pages 3-29, March.
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  7. Yin-Wong Cheung & Menzie D. Chinn, 2000. "Currency Traders and Exchange Rate Dynamics: A Survey of the U.S. Market," CESifo Working Paper Series 251, CESifo Group Munich.
  8. 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.
  9. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Working Papers 2002-007, Federal Reserve Bank of St. Louis.
  10. Menkhoff, Lukas, 1997. "Examining the Use of Technical Currency Analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(4), pages 307-18, October.
  11. Frank Westerhoff, 2003. "Heterogeneous traders and the Tobin tax," Journal of Evolutionary Economics, Springer, vol. 13(1), pages 53-70, 02.
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  15. 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.
  16. Lutz Kilian & Mark P. Taylor, 2001. "Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?," Working Papers 464, Research Seminar in International Economics, University of Michigan.
  17. 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.
  18. Ito, Takatoshi, 1990. "Foreign Exchange Rate Expectations: Micro Survey Data," American Economic Review, American Economic Association, vol. 80(3), pages 434-49, June.
  19. Dan Bernhardt & Murillo Campbello & Edward Kutsoati, 2002. "Who Herds?," Discussion Papers Series, Department of Economics, Tufts University 0213, Department of Economics, Tufts University.
  20. 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.
  21. Marco Cipriani & Antonio Guarino, 2005. "Herd Behavior in a Laboratory Financial Market," Experimental 0502002, EconWPA.
  22. 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.
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  25. 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.
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