Herdenverhalten von Wechselkursprognostikern? / Herd Behavior of Exchange Rate Forecasters?

Christian Pierdzioch and Stadtmann Georg ()
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Stadtmann Georg: European University Viadrina, August-Bebel-Straße 12, 15207 Frankfurt (Oder), Germany, und University of Southern Denmark, Campusvej 55, 5230 Odense M, Denmark

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2010, vol. 230, issue 4, 436-453

Abstract: Exchange rates have been found to be more volatile than underlying macroeconomic fundamentals. Researchers have argued that the empirically observed high exchange-rate volatility may result from herd behavior of foreign-exchange traders and forecasters. We sketch a standard model that illustrates that herd behavior of foreign-exchange-rate forecasters may be rational. We then use survey data to test for herd behavior of forecasters. Our results suggest that exchange-rate-forecasters anti-herd and “lean against the wind” when forecasting exchange rates.

Keywords: Exchange rates; forecasts; herd behavior; Exchange rates; forecasts; herd behavior (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:230:y:2010:i:4:p:436-453

DOI: 10.1515/jbnst-2010-0405

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