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Autor
Stadtmann Georg (Europa-Universität Viadrina), Schäfer Dirk (University of Southern Denmark, Denmark)
Tytuł
Do Exchange-Rate Forecasters Herd? : a Note on the Zloty/Dollar and Yen/Dollar Exchange Rate
Źródło
Bank i Kredyt, 2011, nr 1, s. 7-17, rys., tab., bibliogr. 26 poz.
Słowa kluczowe
Kurs walutowy, Prognozowanie, Decyzje konsumenckie
Exchange rates, Forecasting, Consumer decision
Uwagi
summ.
Abstrakt
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)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Biblioteka Główna Uniwersytetu Ekonomicznego we Wrocławiu
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Allen H., Taylor M.P. (1990), Charts, Noise and Fundamentals in the London Foreign Exchange Market, Economic Journal, Supplement, 100 (400), 49-59.
  2. Batchelor R., Dua P. (1990), Product Differentiation in the Economic Forecasting Industry, International Journal of Forecasting, 6 (3), 311-316.
  3. 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.
  4. 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.
  5. Bernhardt D., Campello M., Kutsoati E. (2006), Who Herds?, Journal of Financial Economics, 80 (3), 657-675.
  6. Capistran C., Timmermann A. (2009), Disagreement and Biases in Inflation Expectations, Journal of Money, Credit, and Banking, 41 (2-3), 365-396.
  7. Dominguez K., Frankel J. (1993), Does foreign exchange intervention work? Institute for International Economics, Washington D.C.
  8. 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.
  9. 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.
  10. 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.
  11. Evans M. (2002), FX Trading and Exchange Rate Dynamics, Journal of Finance, 57 (6), 2405-2447.
  12. Frankel J., Froot K. (1990), Chartists, Fundamentalists, and Trading in the Foreign Exchange Market, American Economic Review, 80 (2), 181-185.
  13. Ito T. (1990), Foreign Exchange Rate Expectations: Micro Survey Data, American Economic Review, 80 (3), 434-449.
  14. Lamont O.A. (2002), Macroeconomic Forecasts and Microeconomic Forecasters, Journal of Economic Behavior and Organization, 48 (3), 265-280.
  15. Laster D., Bennett P., Geoum I.S. (1999), Rational Bias in Macroeconomic Forecasts, Quarterly Journal of Economics, 114 (1), 293-318.
  16. MacDonald R., Marsh I.W. (1996), Currency forecasters are heterogeneous: confirmation and consequences, Journal of International Money and Finance, 15 (5), 665-685.
  17. Mankiw N., Reis R., Wolfers J. (2003), Disagreement about inflation expectations, NBER Working Paper, 9796.
  18. 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.
  19. 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.
  20. 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.
  21. Naujoks M., Aretz K., Kerl A.G., Walter A. (2009), Do German Security Analysts Herd? Financial Markets and Portfolio Management, 23 (1), 3-29.
  22. Pierdzioch C., Rulke J., Stadtmann G. (2010), New Evidence of Anti-Herding of Oil-Price Forecasters, forthcoming in: Energy Economics.
  23. Reitz S., Taylor M. (2008), The Coordination Channel of Foreign Exchange Intervention: A Nonlinear Microstructural Analysis, European Economic Review, 52 (1), 55-76.
  24. Reitz S., Slopek U. (2009), Nonlinear Oil Price Dynamics - A Tale of Heterogeneous Speculators? German Economic Review, 10, 270-283.
  25. Reitz S., Stadtmann G., Taylor M. (2010), The Effects of Japanese Interventions on FX-forecast heterogeneity, Economics Letters, 108 (1), 62-64.
  26. Scharfstein D.S., Stein J.C. (1990), Herd Behavior and Investment, American Economic Review, 80 (3), 465-479.
Cytowane przez
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ISSN
0137-5520
Język
eng
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