Forecaster Rationality and Expectation Formation in Foreign Exchange Markets: Do Emerging Countries Differ from Industrialized Economies?

Michael Frenkel, Jan-Christoph Rülke and Matthias Mauch

International Economic Journal, 2019, vol. 33, issue 3, 383-407

Abstract: This paper uses the Consensus Economic Forecast poll to investigate how forecasters in the foreign exchange market form expectations and whether the expectation formation process differs between industrialized and emerging countries. In order to explain the expectation formation of forecasters in countries and country groups, we analyze around 50,000 forecasts for 22 OECD member currencies. We find that differences between the way forecasters in industrialized countries and emerging countries form exchange rate expectations. However, we show that one important difference is due to a difference in forecasting behavior of emerging countries. Controlling for this feature lets the forecasting behavior in emerging countries resemble more the ones found for industrialized countries, but not for all forecast horizons.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/10168737.2019.1632915 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:intecj:v:33:y:2019:i:3:p:383-407

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RIEJ20

DOI: 10.1080/10168737.2019.1632915

Access Statistics for this article

International Economic Journal is currently edited by Jaymin Lee Editor

More articles in International Economic Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().