Imitation Amongst Exchange-Rate Forecasters: Evidence from Survey Data

Michel Beine, Agnès Bénassy-Quéré () and Helene Colas

Working Papers from CEPII research center

Abstract: In this paper we assess the extent of herd behaviour in the major foreign exchange markets using monthly survey data relative concerning individual forecasts for the DM (or euro) and the yen against the US dollar. We conduct Granger-causality tests and SURE estimations over two distinct periods (1990-1994 and 1996-2001) to analyze whether forecasters where subject to imitation during these periods.

Keywords: Herding; exchange-rate forecasts; survey data (search for similar items in EconPapers)
JEL-codes: F31 F37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ifn and nep-rmg
Date: 2003-07
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Working Paper: Imitation Amongst Exchange-Rate Forecasters: Evidence from Survey Data (2003)
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Persistent link: http://EconPapers.repec.org/RePEc:cii:cepidt:2003-08

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