Do exchange-rate forecasters herd? A note on the zloty/dollar and yen/dollar exchange rate

Georg Stadtmann () and Dirk Schäfer
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Georg Stadtmann: Europa-Universität Viadrina
Dirk Schäfer: University of Southern Denmark (SDU), Department of Business and Economics

Bank i Kredyt, 2011, vol. 42, issue 1, 7-18

Abstract: 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.

Keywords: exchange rates; forecasting; herding (search for similar items in EconPapers)
JEL-codes: D84 F31 (search for similar items in EconPapers)
Date: 2011
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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