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Do exchange-rate forecasters herd? A note on the zloty/dollar and yen/dollar exchange rate

Author

Listed:
  • Georg Stadtmann

    () (Europa-Universität Viadrina)

  • Dirk Schäfer

    (University of Southern Denmark (SDU), Department of Business and Economics)

Abstract

We used the foreign-exchange rate forecasts of the Consensus Economics Inc. poll to analyze whether exchange-rate forecasters herd or anti-herd. Forecasters herd (anti-herd) if their forecasts are biased towards (away from) the consensus. Upon implementing a robust empirical test developed by Bernhardt, Campello, Kutsoati (2006), we found that forecasters anti-herd.

Suggested Citation

  • Georg Stadtmann & Dirk Schäfer, 2011. "Do exchange-rate forecasters herd? A note on the zloty/dollar and yen/dollar exchange rate," Bank i Kredyt, Narodowy Bank Polski, vol. 42(1), pages 7-18.
  • Handle: RePEc:nbp:nbpbik:v:42:y:2011:i:1:p:7-18
    Note: We would like to thank the Euro Area Macroeconomic Developments Division of the European Central Bank (ECB) for providing the data.
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    References listed on IDEAS

    as
    1. 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.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    exchange rates; forecasting; herding;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations

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