Do exchange-rate forecasters herd? A note on the zloty/dollar and yen/dollar exchange rate
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.
Volume (Year): 42 (2011)
Issue (Month): 1 ()
|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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- 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.
- Sophie Larribeau & A. Benassy-Quéré & R. Macdonald, 2003. "Models of exchange rate expectations : how much heterogeneity ?," Post-Print halshs-00069655, HAL.
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