Expectations on the yen/dollar exchange rate - Evidence from the Wall Street Journal forecast poll

Jan C. Ruelke, Michael R. Frenkel and Georg Stadtmann

Journal of the Japanese and International Economies, 2010, vol. 24, issue 3, 355-368

Abstract: We use the foreign exchange forecasts of the Wall Street Journal poll to analyze forecasters' expectation formation process for the yen against the US dollar for the period 1989-2007. We also contrast the expectation formation process with the actual exchange rate process. We find that most forecasters have contrarian and stabilizing exchange rate expectations. Our results also indicate significant heterogeneity between forecasters. However, forecasters on average underestimate the degree of contrarian and stabilizing behavior.

Keywords: Foreign; exchange; market; Forecast; bias; Random; walk (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jjieco:v:24:y:2010:i:3:p:355-368

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