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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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