Currency crises, uncertain fundamentals and private-sector forecasts
Jan-Christoph Rülke and
Christian Pierdzioch
Applied Economics Letters, 2013, vol. 20, issue 5, 489-494
Abstract:
The cross-sectional dispersion of private-sector forecasts has been used in recent research on currency crises as a measure of uncertainty over expected fundamentals. We argue that the cross-sectional dispersion of private-sector forecasts need not only reflect uncertainty over expected fundamentals but may also arise due to a deliberate scattering of forecasts. Using data on foreign exchange (FX) reserve forecasts for 11 South-American and Eastern-European countries, we report evidence of such a forecast scattering that seems more pronounced during the economic crisis of 2008/09.
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:20:y:2013:i:5:p:489-494
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DOI: 10.1080/13504851.2012.716149
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