A note on forecasting emerging market exchange rates: Evidence of anti-herding

Christian Pierdzioch, Jan-Christoph Rülke and Georg Stadtmann

No 324, Discussion Papers from European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics

Abstract: Using survey forecasts of a large number of Asian, European, and South American emerging market exchange rates, we studied empirically whether evidence of herding or antiherding behavior of exchange-rate forecasters can be detected in the cross-section of forecasts. Emerging market exchange-rate forecasts are consistent with herding (anti-herding) if forecasts are biased towards (away from) the consensus forecast. Our empirical findings provide strong evidence of anti-herding of emerging market exchange-rate forecasters.

JEL-codes: C33 D84 F31 (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-fmk, nep-for and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/64549/1/726451487.pdf (application/pdf)

Related works:
Journal Article: A Note on Forecasting Emerging Market Exchange Rates: Evidence of Anti-herding (2012)
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:zbw:euvwdp:324

Access Statistics for this paper

More papers in Discussion Papers from European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().