Do Exchange-Rate Forecasters Herd? : a Note on the Zloty/Dollar and Yen/Dollar Exchange Rate

• Autorzy: Georg Stadtmann , Dirk Schäfer
• Języki publikacji: EN

Abstrakty

EN

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. (original abstract)

Słowa kluczowe

EN

Exchange rates; Forecasting; Consumer decision

PL

Kurs walutowy; Prognozowanie; Decyzje konsumenckie

• Czasopismo: Bank i Kredyt
• Rocznik: 2011
• Numer: nr 1
• Strony: 7--17

Twórcy

autor

Georg Stadtmann

• Europa-Universität Viadrina

autor

Dirk Schäfer

• University of Southern Denmark, Denmark

Bibliografia

• Allen H., Taylor M.P. (1990), Charts, Noise and Fundamentals in the London Foreign Exchange Market, Economic Journal, Supplement, 100 (400), 49-59.
• Batchelor R., Dua P. (1990), Product Differentiation in the Economic Forecasting Industry, International Journal of Forecasting, 6 (3), 311-316.
• Beine M., Bénassy-Quéré A., MacDonald R. (2007), The Impact of Central Bank Intervention on Exchange-Rate Forecast Heterogeneity, Journal of the Japanese and International Economies, 21 (1), 38-63.
• Bénassy-Quéré A., Larribeau S., MacDonald R. (2003), Models of Exchange Rate Expectations: How Much Heterogeneity? Journal of International Financial Markets, Institutions and Money, 13 (2), 113-136.
• Bernhardt D., Campello M., Kutsoati E. (2006), Who Herds?, Journal of Financial Economics, 80 (3), 657-675.
• Capistran C., Timmermann A. (2009), Disagreement and Biases in Inflation Expectations, Journal of Money, Credit, and Banking, 41 (2-3), 365-396.
• Dominguez K., Frankel J. (1993), Does foreign exchange intervention work? Institute for International Economics, Washington D.C.
• Dreger C., Stadtmann G. (2008), What Drives Heterogeneity in Foreign Exchange Rate Expectations: Insights from a New Survey, International Journal of Finance and Economics, 13 (4), 360-367.
• Elliott G., Ito T. (1999), Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market, Journal of Monetary Economics, 43 (2), 435-456.
• Elliot G., Komunjer I., Timmermann A. (2008), Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?, Journal of the European Economic Association, 6 (1), 122-157.
• Evans M. (2002), FX Trading and Exchange Rate Dynamics, Journal of Finance, 57 (6), 2405-2447.
• Frankel J., Froot K. (1990), Chartists, Fundamentalists, and Trading in the Foreign Exchange Market, American Economic Review, 80 (2), 181-185.
• Ito T. (1990), Foreign Exchange Rate Expectations: Micro Survey Data, American Economic Review, 80 (3), 434-449.
• Lamont O.A. (2002), Macroeconomic Forecasts and Microeconomic Forecasters, Journal of Economic Behavior and Organization, 48 (3), 265-280.
• Laster D., Bennett P., Geoum I.S. (1999), Rational Bias in Macroeconomic Forecasts, Quarterly Journal of Economics, 114 (1), 293-318.
• MacDonald R., Marsh I.W. (1996), Currency forecasters are heterogeneous: confirmation and consequences, Journal of International Money and Finance, 15 (5), 665-685.
• Mankiw N., Reis R., Wolfers J. (2003), Disagreement about inflation expectations, NBER Working Paper, 9796.
• Menkhoff L., Rebitzky R., Schroder M. (2009), Heterogeneity in Exchange Rate Expectations: Evidence on the Chartist-Fundamentalist Approach, Journal of Economic Behavior and Organization, 70 (102), 241-252.
• Mensah Y.M., Yang R. (2008), An empirical evaluation of analysts' herding behavior following Regulation Fair Disclosure, Journal of Accounting & Public Policy, 27 (4), 317-338.
• Mitchell K., Pearce D.K. (2007), Professional Forecasts of Interest Rates and Exchange Rates: Evidence from the Wall Street Journal's Panel of Economists, Journal of Macroeconomics, 29 (4), 840-854.
• Naujoks M., Aretz K., Kerl A.G., Walter A. (2009), Do German Security Analysts Herd? Financial Markets and Portfolio Management, 23 (1), 3-29.
• Pierdzioch C., Rulke J., Stadtmann G. (2010), New Evidence of Anti-Herding of Oil-Price Forecasters, forthcoming in: Energy Economics.
• Reitz S., Taylor M. (2008), The Coordination Channel of Foreign Exchange Intervention: A Nonlinear Microstructural Analysis, European Economic Review, 52 (1), 55-76.
• Reitz S., Slopek U. (2009), Nonlinear Oil Price Dynamics - A Tale of Heterogeneous Speculators? German Economic Review, 10, 270-283.
• Reitz S., Stadtmann G., Taylor M. (2010), The Effects of Japanese Interventions on FX-forecast heterogeneity, Economics Letters, 108 (1), 62-64.
• Scharfstein D.S., Stein J.C. (1990), Herd Behavior and Investment, American Economic Review, 80 (3), 465-479.